VaR Estimation of Bond Portfolios Using Principal Components Analysis
碩士 === 東吳大學 === 企業管理學系 === 92 === The measurement of interest rate risk plays a central role in the risk management of bonds. As a result of many studies, a number of methodologies have been developed that quantify the risk exposure of bond positions. The non-linearity of the price-yield relationshi...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89527332499181886359 |