Managing value-at-risk for a bond using bond put options
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Publication:2642582
DOI10.1007/s10614-006-9068-9zbMath1161.91388OpenAlexW1995001333MaRDI QIDQ2642582
Dries Heyman, Ahmed Ezzine, Michèle Vanmaele, Griselda Deelstra
Publication date: 17 August 2007
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7612/1/gd-0020.pdf
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Related Items (3)
Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ Option-based risk management of a bond portfolio under regime switching interest rates ⋮ Reducing risk by merging counter-monotonic risks
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