Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios
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DOI: 10.1016/j.frl.2016.11.013
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Cited by:
- Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Dan Dobrotă & Gabriela Dobrotă & Tiberiu Dobrescu & Cristina Mohora, 2019. "The Redesigning of Tires and the Recycling Process to Maintain an Efficient Circular Economy," Sustainability, MDPI, vol. 11(19), pages 1-21, September.
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More about this item
Keywords
Value-at-Risk; Monte Carlo simulation; Delta–Gamma approximation; Vasicek model; Cox–Ingersoll–Ross model;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
Statistics
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