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

DOI10.1093/IMAMAN/DPV016zbMath1433.91107OpenAlexW2278426211MaRDI QIDQ5382704

Roberto Bustreo, P. Date

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/12202

zbMATH Keywords

value-at-riskfixed-income portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Signal detection and filtering (aspects of stochastic processes) (60G35)

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