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Understanding and managing interest rate risk at banks

Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231

Persistent link: https://www.econbiz.de/10011974365

Russian-doll risk models

Kakushadze, Zura - In: The journal of asset management 16 (2015) 3, pp. 170-185

Persistent link: https://www.econbiz.de/10011413287

Statistical risk models

Kakushadze, Zura; Yu, Willie - In: The journal of investment strategies 6 (2017) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011668127

Custom v. standardized risk models

Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...

Persistent link: https://www.econbiz.de/10011299524