EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Statistical estimation with missing data"
Narrow search

Narrow search

Year of publication
Subject
All
EM-algorithm 1 Statistical estimation with missing data 1 copula functions 1 multiple imputation 1 specific interest rate risk 1 value at risk 1
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Quell, Peter 1 Siegl, Thomas 1
Published in...
All
Applied Mathematical Finance 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Modelling Specific Interest Rate Risk with Estimation of Missing Data
Siegl, Thomas; Quell, Peter - In: Applied Mathematical Finance 12 (2004) 3, pp. 283-309
For the treatment of specific interest rate risk, a risk model is suggested, quantifying and combining both market and credit risk components consistently. The market risk model is based on credit spreads derived from traded bond prices. Though traded bond prices reveal a maximum amount of...
Persistent link: https://www.econbiz.de/10009279061
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...