Simulation and evaluation of the distribution of interest rate risk

DOI10.1007/s10287-018-0319-8OpenAlexW2807221396WikidataQ129723494 ScholiaQ129723494MaRDI QIDQ1722765

Johan Hagenbjörk, Jörgen Blomvall

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0319-8

zbMATH Keywords

principal component analysisterm structureinterest rate riskvalue at risk

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Interest rates, asset pricing, etc. (stochastic models) (91G30) Operations research and management science (90Bxx)

Related Items (1)

Reducing transaction costs for interest rate risk hedging with stochastic programming

Uses Software

• copula
• GitHub
• Quantlib
• ARCH
• QuantLib

Cites Work

• Forecasting the term structure of government bond yields
• A noisy principal component analysis for forward rate curves
• Kriging of financial term-structures
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Measurement of interest rates using a convex optimization model
• Portfolio value at risk based on independent component analysis
• Support vector machine as an efficient framework for stock market volatility forecasting
• Interpolation Methods for Curve Construction
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Tests of Conditional Predictive Ability
• An analysis of variance test for normality (complete samples)
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
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