DocumentCode
3265840
Title
On cash flow mapping in VAR estimations
Author
Schaller, Peter
Author_Institution
Creditanstalt-Bankverein, Wien, Austria
fYear
1998
fDate
29-31 Mar 1998
Firstpage
180
Lastpage
188
Abstract
In volatility estimations of fixed income instruments the mapping of cash flows to the anchor points of the yield curve plays a crucial role. The author argues in favor of a modification of the traditional approaches
Keywords
financial data processing; investment; risk management; VAR estimations; anchor points; cash flow mapping; fixed income instruments; value at risk; volatility estimations; yield curve; Economic indicators; Geometry; Instruments; Mathematical analysis; Mathematics; Portfolios; Publishing; Reactive power; Statistical analysis; Yield estimation;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence for Financial Engineering (CIFEr), 1998. Proceedings of the IEEE/IAFE/INFORMS 1998 Conference on
Conference_Location
New York, NY
Print_ISBN
0-7803-4930-X
Type
conf
DOI
10.1109/CIFER.1998.690089
Filename
690089
Link To Document