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Market Risk Measurement and Management
Volatilty Smile
Yields
Durations
Key Rates Duration
Mortgage
Interest Rate Binomial Tree and Constant Maturity Swap
Backtest
VaR Mapping
Expected Shortfall
Gaussian Copula
Black-Scholes-Merton
Monte Carlo simulation
Generalized Extreme (GEV) and Generalized Pareto Distribution (GPD)
MBS
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