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

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

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

CFA Digest ◽  
2008 ◽  
Vol 38 (1) ◽  
pp. 23-24 ◽  
Author(s):  
Bruce D. Phelps
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Fixed Income ◽  
Copula Approach

Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies

2006 ◽  
Vol 16 (2) ◽  
pp. 46-61 ◽  
Author(s):  
Geoff loudon ◽  
John Okunev ◽  
Derek White
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Hedge Fund ◽  
Trading Strategies ◽  
Fixed Income ◽  
Hedge Fund Risk

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

Parsimonious Value at Risk for Fixed Income Portfolios

2005 ◽  
pp. 125-141
Author(s):  
John F. O. Bilson
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Fixed Income

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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