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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
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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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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