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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179624
Description: This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170424
Description: The aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The dependency in log-returns of currenc ... More
Reviewed: Reviewed
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