VALUE AT RISK FOR INTEREST RATE-DEPENDENT SECURITIES - Value at risk (VaR) may be calculated for interest rate-dependent securities using an extension of a non-parametric estimator. The method here uses a two-dimensional kernel with adjustable bandwidth to model the risk as it changes with the level of interest rates. Since the variance, skewness, kurtosis, and higher moments of the distribution ...

Value at risk for interest rate-dependent securities

Cakici, Nusret, (2003)

Risk-neutralized at-the-money consistent historical distributions in currency options pricing

Cakici, Nusret, (2002)

Downsizing: an examination of the consequences of mass layoffs

Foster, Kevin R., (2002)