A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
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- repec:anm:alpnmr:v:5:y:2017:i:1:p:147-162 is not listed on IDEAS
- Pilar Abad & Alfonso Novales, 2002. "The Forecasting Ability of Factor Models of the Term Structure of IRS Markets," Documentos de Trabajo del ICAE 0221, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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