Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings
نویسندگان
چکیده
منابع مشابه
Value at Risk for Interest Rate-Dependent Securities
MARCH 2003 THE JOURNAL OF FIXED INCOME 81 V alue at risk modelers face difficult trade-offs in choosing between the two major VaR methodologies: historical/ Monte Carlo simulations or parametric models. The historical approach uses the recent history of the asset price (or, for derivatives, the price of the underlying), while the parametric approach imposes functional form assumptions upon the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.713002