scholarly journals Value-at-Risk for fixed-income portfolios: a Kalman filtering approach

2015 ◽  
Vol 27 (4) ◽  
pp. 557-573 ◽  
Author(s):  
P. Date ◽  
R. Bustreo
Keyword(s):  
At Risk ◽  
Kalman Filtering ◽  
Value At Risk ◽  
Fixed Income ◽  
Filtering Approach

scholarly journals Improving grid-based methods for estimating value-at-risk of fixed-income portfolios

2001 ◽  
Vol 3 (2) ◽  
pp. 65-89 ◽  
Author(s):  
Michael Gibson ◽  
Matthew Pritsker
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Fixed Income ◽  
Grid Based

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

2007 ◽  
Vol 17 (1) ◽  
pp. 5-15 ◽  
Author(s):  
Lionel Martellini ◽  
Jean-Christophe Meyfredi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Fixed Income ◽  
Copula Approach

scholarly journals Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios

2000 ◽  
Vol 2000 (25) ◽  
pp. 1-29 ◽  
Author(s):  
Michael S. Gibson ◽  
◽  
Matthew Pritsker
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Fixed Income ◽  
Grid Based

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk
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