Pathwise grid valuation of fixed-income portfolios with applications to risk management
Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides an e...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-07-01
|
| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844022011689 |