A Comparison Of Value-At-Risk Methods For Portfolios Consisting Of Interest Rate Swaps And FRAs
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چکیده
Acknowledgements I would like to thank Graeme West and Hardy Hulley for all their help, and especially Dr. West for the many consultations, as well as for providing me with his bootstrapping code. Thanks also to Shaun Barnarde of SCMB for providing the historical data.
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تاریخ انتشار 2003