EconPapers    
Economics at your fingertips  
 

A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps

Cindy I. Niffikeer, Robin D. Hewins and Richard B. Flavell

Journal of Banking & Finance, 2000, vol. 24, issue 12, 1903-1932

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(99)00119-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:24:y:2000:i:12:p:1903-1932

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:jbfina:v:24:y:2000:i:12:p:1903-1932