Analyzing and Comparing Basel's III Sensitivity Based Approach for the interest rate risk in the trading book
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- Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021. "Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative study in the Mexican Stock Exchange," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), pages 513-543, August.
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More about this item
Keywords
Sensitivity Based approach; Capital charge; GARCH; PCA; Basel III; bonds portfolio; Dynamic Nelson Siegel; ICA; interest rate risk; trading book;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2016-05-28 (Banking)
- NEP-CBA-2016-05-28 (Central Banking)
- NEP-RMG-2016-05-28 (Risk Management)
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