Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios

DOI10.1080/14697688.2017.1296176zbMath1402.91670OpenAlexW2604516127MaRDI QIDQ4555154

Mark D. Flood, Jingnan Chen, Richard B. Sowers

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1296176

zbMATH Keywords

uncertaintymodel riskyield curvestress testingoptimal uncertainty quantification

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• TOMLAB
• QRM

Cites Work

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• The Impact of Uncertainty Shocks
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Stress scenario selection by empirical likelihood
• Systematic scenario selection: stress testing and the nature of uncertainty
• Probability Inequalities for Sums of Bounded Random Variables
• Advanced Lectures on Machine Learning
• Concentration of Measure for the Analysis of Randomized Algorithms

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