Pathwise grid valuation of fixed-income portfolios with applications to risk management

Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides an e...

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Detalles Bibliográficos
Autores principales: Zamani, Shiva, Chaghazardi, Ali, Arian, Hamid
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9294058/
https://www.ncbi.nlm.nih.gov/pubmed/35865976
http://dx.doi.org/10.1016/j.heliyon.2022.e09880

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9294058/
https://www.ncbi.nlm.nih.gov/pubmed/35865976
http://dx.doi.org/10.1016/j.heliyon.2022.e09880

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