{"id":"https://openalex.org/W2807221396","doi":"https://doi.org/10.1007/s10287-018-0319-8","title":"Simulation and evaluation of the distribution of interest rate risk","display_name":"Simulation and evaluation of the distribution of interest rate risk","publication_year":2018,"publication_date":"2018-06-05","ids":{"openalex":"https://openalex.org/W2807221396","doi":"https://doi.org/10.1007/s10287-018-0319-8","mag":"2807221396"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-018-0319-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0319-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0319-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0319-8.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5050149048","display_name":"Johan Hagenbj\u00f6rk","orcid":"https://orcid.org/0000-0001-5867-8242"},"institutions":[{"id":"https://openalex.org/I102134673","display_name":"Link\u00f6ping University","ror":"https://ror.org/05ynxx418","country_code":"SE","type":"education","lineage":["https://openalex.org/I102134673"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Johan Hagenbj\u00f6rk","raw_affiliation_strings":["Link\u00f6ping University, 581 83, Link\u00f6ping, Sweden"],"affiliations":[{"raw_affiliation_string":"Link\u00f6ping University, 581 83, Link\u00f6ping, Sweden","institution_ids":["https://openalex.org/I102134673"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058345036","display_name":"J\u00f6rgen Blomvall","orcid":"https://orcid.org/0000-0002-3558-2579"},"institutions":[{"id":"https://openalex.org/I102134673","display_name":"Link\u00f6ping University","ror":"https://ror.org/05ynxx418","country_code":"SE","type":"education","lineage":["https://openalex.org/I102134673"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"J\u00f6rgen Blomvall","raw_affiliation_strings":["Link\u00f6ping University, 581 83, Link\u00f6ping, Sweden"],"affiliations":[{"raw_affiliation_string":"Link\u00f6ping University, 581 83, Link\u00f6ping, Sweden","institution_ids":["https://openalex.org/I102134673"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5050149048"],"corresponding_institution_ids":["https://openalex.org/I102134673"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.9314,"has_fulltext":true,"cited_by_count":8,"citation_normalized_percentile":{"value":0.78141321,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"16","issue":"1-2","first_page":"297","last_page":"327"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.7530910968780518},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.6573160886764526},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.5829311609268188},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.5528275966644287},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.542470395565033},{"id":"https://openalex.org/keywords/ex-ante","display_name":"Ex-ante","score":0.5235459804534912},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.4640791416168213},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.4545837640762329},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4189791977405548},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.4137771725654602},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.34660762548446655},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3076746463775635},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.23154449462890625},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.156982421875},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.12761756777763367},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08268624544143677}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7530910968780518},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6573160886764526},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5829311609268188},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5528275966644287},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.542470395565033},{"id":"https://openalex.org/C122251271","wikidata":"https://www.wikidata.org/wiki/Q940039","display_name":"Ex-ante","level":2,"score":0.5235459804534912},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.4640791416168213},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.4545837640762329},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4189791977405548},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4137771725654602},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.34660762548446655},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3076746463775635},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.23154449462890625},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.156982421875},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12761756777763367},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08268624544143677},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-018-0319-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0319-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0319-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:DiVA.org:liu-151604","is_oa":true,"landing_page_url":"http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-151604","pdf_url":null,"source":{"id":"https://openalex.org/S4306401559","display_name":"KTH Publication Database DiVA (KTH Royal Institute of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article in journal"},{"id":"pmh:oai:RePEc:spr:comgts:v:16:y:2019:i:1:d:10.1007_s10287-018-0319-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-018-0319-8","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10287-018-0319-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0319-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0319-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.41999998688697815,"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320322225","display_name":"Link\u00f6pings Universitet","ror":"https://ror.org/05ynxx418"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2807221396.pdf","grobid_xml":"https://content.openalex.org/works/W2807221396.grobid-xml"},"referenced_works_count":46,"referenced_works":["https://openalex.org/W115170741","https://openalex.org/W1515265003","https://openalex.org/W1516729874","https://openalex.org/W1540663948","https://openalex.org/W1595921853","https://openalex.org/W1732842240","https://openalex.org/W1963808256","https://openalex.org/W1964478211","https://openalex.org/W1976718384","https://openalex.org/W1996914119","https://openalex.org/W1997577764","https://openalex.org/W1997741852","https://openalex.org/W2003428359","https://openalex.org/W2013312564","https://openalex.org/W2015633027","https://openalex.org/W2032983618","https://openalex.org/W2037490177","https://openalex.org/W2057622893","https://openalex.org/W2059135023","https://openalex.org/W2061160212","https://openalex.org/W2077252204","https://openalex.org/W2086642350","https://openalex.org/W2087388446","https://openalex.org/W2114259727","https://openalex.org/W2117009105","https://openalex.org/W2125836937","https://openalex.org/W2129905273","https://openalex.org/W2136089054","https://openalex.org/W2145199056","https://openalex.org/W2151581948","https://openalex.org/W2164777891","https://openalex.org/W2168745915","https://openalex.org/W2170444200","https://openalex.org/W2235640798","https://openalex.org/W2263098707","https://openalex.org/W2265044661","https://openalex.org/W2409876243","https://openalex.org/W2607486332","https://openalex.org/W3021318637","https://openalex.org/W3121736260","https://openalex.org/W3122722073","https://openalex.org/W3123172022","https://openalex.org/W3124477952","https://openalex.org/W4229977739","https://openalex.org/W4233014035","https://openalex.org/W4254518637"],"related_works":["https://openalex.org/W3126123222","https://openalex.org/W799577184","https://openalex.org/W4301377905","https://openalex.org/W3122839946","https://openalex.org/W3149677656","https://openalex.org/W2381915135","https://openalex.org/W4312385542","https://openalex.org/W353195886","https://openalex.org/W2597152280","https://openalex.org/W2950198523"],"abstract_inverted_index":{"We":[0,16,48,65,108,130,153],"study":[1],"methods":[2,173],"to":[3,9,25,42,57,67,101,105,149,164,185],"simulate":[4],"term":[5,22,91,190],"structures":[6],"in":[7,40,176,188],"order":[8,41],"measure":[10],"interest":[11,127],"rate":[12,128],"risk":[13,27,63,75,182,200],"more":[14,89],"accurately.":[15],"use":[17],"principal":[18],"component":[19],"analysis":[20],"of":[21,60,81,126],"structure":[23,92,191],"innovations":[24],"identify":[26],"factors":[28],"and":[29,45,119,203],"we":[30,193],"model":[31,58,70,97,210],"their":[32],"univariate":[33,62],"distribution":[34],"using":[35],"GARCH-models":[36],"with":[37],"Student\u2019s":[38,52],"t-distributions":[39],"handle":[43],"heteroscedasticity":[44],"fat":[46],"tails.":[47],"find":[49,131,154,194],"that":[50,71,132,155,156,195,207],"the":[51,82,114,150,157,165,181,189,199,212],"t-copula":[53],"is":[54,98],"most":[55],"suitable":[56],"co-dependence":[59],"these":[61],"factors.":[64],"aim":[66],"develop":[68],"a":[69,88,123],"provides":[72,211],"low":[73],"ex-ante":[74,133,166],"measures,":[76],"while":[77,171],"having":[78],"accurate":[79,90],"representations":[80],"ex-post":[83],"realized":[84,158],"risk.":[85],"By":[86],"utilizing":[87],"estimation":[93],"method,":[94],"our":[95,208],"proposed":[96,209],"less":[99],"sensitive":[100],"measurement":[102,167],"noise":[103,186],"compared":[104,148],"traditional":[106,151,172],"models.":[107,152],"perform":[109],"an":[110],"out-of-sample":[111],"test":[112],"for":[113,142,168,201],"U.S.":[115],"market":[116],"between":[117],"2002":[118],"2017":[120],"by":[121,213],"valuing":[122],"portfolio":[124,159],"consisting":[125],"derivatives.":[129],"Value":[134,216],"at":[135,217],"Risk":[136,218],"measurements":[137],"can":[138],"be":[139],"substantially":[140],"reduced":[141],"all":[143,196],"confidence":[144],"levels":[145],"above":[146],"95%,":[147],"tail":[160],"losses":[161],"accurately":[162],"conform":[163],"daily":[169],"returns,":[170,205],"overestimate,":[174],"or":[175],"some":[177],"cases":[178],"even":[179],"underestimate":[180],"ex-post.":[183],"Due":[184],"inherent":[187],"measurements,":[192],"models":[197],"overestimate":[198],"10-day":[202],"quarterly":[204],"but":[206],"far":[214],"lowest":[215],"measures.":[219]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}