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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2022
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| Materias: | |
| 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 |