STRESS TESTING: THE RELATIVITY OF VOLATILITY - How to use extreme value theory to parameterise extreme levels of volatility. in an interest rates context.
| Year of publication: |
2001
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|---|---|
| Authors: | Bali, Turan ; Neftci, Salih |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 4, p. 91-94
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