Managing swaption portfolio risk under different interest rate regimes
Efficient risk managing of swaption portfolios is crucial in the hedging of interest rate exposure. This paper formulates a portfolio risk management framework under stochastic volatility models. The implication of using the right volatility backbone in the stochastic-alpha-beta-rho (SABR) model is...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5977 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6976/viewcontent/Managing_swaption_portfolio_risk_under_different_interest_rate_regimes.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |