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Interest Rate Modeling for Risk Management -- Market Price of Interest Rate Risk

20:00 EDT 15 May 2018 | AAAS

(Bentham Science Publishers) This book presents information about the application of the 'interest rate model' for risk management goals. When using this model to generate interest rate scenarios for the risk management, the scenarios should be generated with the real probabilities, so called the real-world measure. For this purpose, the interest rate model should be specified under the real-world measure, which is called the 'real-world model' in practice.

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