مرکز منطقه ای اطلاع رساني علوم و فناوري - A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps

Title of article :

A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps

Author/Authors :

Cindy I. Niffikeer، نويسنده , , Robin D. Hewins، نويسنده , , Richard B. Flavell، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2000

Pages :

From page :

1903

To page :

1932

Keywords :

Value-at-Risk , Risk management , swaps

Journal title :

Journal of Banking and Finance

Serial Year :

2000

Journal title :

Journal of Banking and Finance

Record number :

193230

Link To Document :