A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps

Article Abstract:

A study of the examination of interest rate swaps from a number of countries is presented with emphasis on their common factors. Synthetic models of two of these factors are used to form a method for estimating value-at-risk.

Research, Models, Risk management, Interest rate swaps

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Evaluating implied RNDs by some new confidence interval estimation techniques

Article Abstract:

Bootstrap method to examine confidence intevals for risk-neutral distributions in investment decisions is presented.

Germany, Sweden, Analysis, Confidence intervals

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Portfolio selection with a drawdown constraint

Article Abstract:

Selection of an optimal portfolio of a manager by imposing maximum drawdown constraint is discussed.

United States, Labor force information, Investment advice, Investment Advisory Services, Employment, Investment advisers

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