5. Illustrate the use of VaR to measure the interest rate risk of a porfolio of fixed-income...

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5. Illustrate the use of VaR to measure the interest rate risk of a porfolio of fixed-income securities using the variance-covariance method.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:00 AM

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5. Illustrate the use of VaR to measure the interest rate risk of a porfolio of fixed-income securities using the variance-covariance method.
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5. Illustrate the use of VaR to measure the interest rate risk of a porfolio of fixed-income...

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Measuring And Controlling Interest Rate And Credit Risk

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