Quantification of spread risk by means of historical simulation
Christoph Frisch and Germar Knöchlein
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003745948