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

Authors :: Niffikeer, Cindy I.
Hewins, Robin D.
Flavell, Richard B.
Source :: Journal of Banking & Finance. Dec, 2000, Vol. 24 Issue 12, p1903, 3 p.
Publication Year :: 2000
Abstract: A study of the examination of interest rate swaps from a number of countries is presented with emphasis on their common factors. Synthetic models of two of these factors are used to form a method for estimating value-at-risk.

Subjects :: Interest rate swaps -- Research
Risk management -- Models
Banking, finance and accounting industries
Business

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