Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets.
Saved in:
| Superior document: | Linköping Studies in Science and Technology. Dissertations Series ; v.2039 |
|---|---|
| : | |
| Place / Publishing House: | Linköping : : Linkopings Universitet,, 2019. {copy}2020. |
| Year of Publication: | 2019 |
| Edition: | 1st ed. |
| Language: | English |
| Series: | Linköping Studies in Science and Technology. Dissertations Series
|
| Online Access: | |
| Physical Description: | 1 online resource (156 pages) |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- Intro
- Abstract
- Sammanfattning
- Preface
- Acknowledgments
- List of Papers
- Author Statements
- Contents
- Introduction
- Market background
- Interest Rates
- Measuring Term Structures of Interest Rates
- Measuring the Systematic Risk Factors of Interest Rates
- Performance Attribution
- Measuring Interest Rate Risk
- Hedging Interest Rate Risk
- Credit Risk
- Reduced-Form Models
- Measuring the Financial Quantities on the Credit Risk Market
- Contribution
- Future Research
- Bibliography
- Nomenclature.