Tobias Nigbur

University of St. Gallen

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Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates

Number of pages: 39 Posted: 01 Jan 2013 Last Revised: 19 Sep 2016
Christian P. Fries, Tobias Nigbur and Norman Seeger
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, University of St. Gallen and VU University Amsterdam
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Abstract:

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Historical simulation, generalizations, negative risk factors, Value at Risk