Pulled-to-par returns for zero-coupon bonds historical simulation value at risk

DOI10.1007/s42519-020-00092-wzbMath1444.91214OpenAlexW3000481309MaRDI QIDQ777819

Manuel L. Esquível, J. Beleza Sousa, Raquel M. Gaspar

Publication date: 7 July 2020

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_093_2019.pdf

zbMATH Keywords

value at riskzero-coupon bondhistorical simulation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• QRM
• Dowd

Cites Work

• Arbitrage Theory in Continuous Time
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