Browsing NTNU Open by Author "Kierulf, Kaja"
Now showing items 1-1 of 1
-
Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios
Kierulf, Kaja (Master thesis, 2010)This thesis evaluates risk measures for interest rate portfolios. First a model for interest rates is established: the LIBOR market model. The model is applied to Norwegian and international interest rate data and used to ...