Title :
On cash flow mapping in VAR estimations
Author_Institution :
Creditanstalt-Bankverein, Wien, Austria
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;
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
DOI :
10.1109/CIFER.1998.690089
