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Risk management of a bond portfolio using options - MaRDI portal

Risk management of a bond portfolio using options (Q2463566)

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Risk management of a bond portfolio using options
scientific article

    Statements

    title
    Risk management of a bond portfolio using options (English)
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    author
    Jan Annaert
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    Griselda Deelstra
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    Dries Heyman
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    Michèle Vanmaele
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    publication date
    14 December 2007
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    zbMATH Keywords
    (tail) value-at-risk
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    bond hedging
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    affine term structure model
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    Identifiers

    zbMATH DE Number
    5219806
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    OpenAlex ID
    W2071240508
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