Quantification of spread risk by means of historical simulation
Year of publication: |
2009
|
---|---|
Authors: | Frisch, Christoph ; Knöchlein, Germar |
Published in: |
Applied quantitative finance. - Berlin : Springer, ISBN 978-3-540-69177-8. - 2009, p. 37-67
|
Subject: | Zinsrisiko | Interest rate risk | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Simulation | Risikomaß | Risk measure | Schätzung | Estimation | Theorie | Theory | USA | United States | 1992-2000 |
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