RiskMetrics Monitor - RiskMetrics Monitor 4Q95

  • Exploring alternative volatility forecasting methods for the standard RiskMetrics monthly horizon
  • How accurate are the risk estimates in portfolios which contain treasury bills proxied by LIBOR data?
  • A solution to the standard cash flow mapping algorithm which sometimes leads to imaginary roots
October 12, 1995
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RiskMetrics Monitor 4Q95587.61 KB