Improving grid-based methods for estimating value at risk of fixed-income portfolios
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References listed on IDEAS
- John Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 35-58.
- Matthew Pritsker, 1997. "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 201-242, October.
- Farshid Jamshidian & Yu Zhu, 1996. "Scenario Simulation: Theory and methodology (*)," Finance and Stochastics, Springer, vol. 1(1), pages 43-67.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2000-07-11 (All new papers)
- NEP-CFN-2000-07-11 (Corporate Finance)
- NEP-FIN-2000-07-11 (Finance)
- NEP-FMK-2000-07-11 (Financial Markets)
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