Measuring Value-at-Risk for Mortgage Backed Securities
作者： Svend Jakobsen
DOI: 10.1007/978-1-4613-1271-0_11
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摘要: This paper investigates the computation of Value-at-Risk (VaR) measures for mort-gage backed securities (MBSs) using data Danish MBS market. The current RiskMetrics proposal from J.P. Morgan is used as a reference point throughout, but study diverges somewhat their proposal, especially with respect to estimation zero coupon yield curves well in choice mapping techniques.
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