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Value-at-Risk for fixed-income portfolios: a Kalman filtering approach - MaRDI portal

Value-at-Risk for fixed-income portfolios: a Kalman filtering approach (Q5382704)

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scientific article; zbMATH DE number 7067531
Language Label Description Also known as
English
Value-at-Risk for fixed-income portfolios: a Kalman filtering approach
scientific article; zbMATH DE number 7067531

    Statements

    title
    Value-at-Risk for fixed-income portfolios: a Kalman filtering approach (English)
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    author
    P. Date
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    Roberto Bustreo
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    publication date
    18 June 2019
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    zbMATH Keywords
    value-at-risk
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    fixed-income portfolios
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    Identifiers

    zbMATH DE Number
    7067531
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    OpenAlex ID
    W2278426211
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    DOI
    10.1093/IMAMAN/DPV016
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