RT Journal Article SR Electronic T1 Factor Dependence and Estimation Risk for Cap-Related Interest Rate Exotics JF The Journal of Fixed Income FD Institutional Investor Journals SP 74 OP 83 DO 10.3905/jfi.2006.627842 VO 15 IS 4 A1 Jeroen Kerkhof YR 2006 UL https://pm-research.com/content/15/4/74.abstract AB In this article the author presents the (stationary) bootstrap as a method to take estimation risk into account when computing exotic interest rate derivatives prices. This provides traders and risk managers with a price range of values for the exotic product contrary to a single estimate. It was found that this estimation risk is very much product dependent. Autocaps, sticky caps, and especially ratchet caps are very sensitive to correlation resulting in considerable price ranges for these products. For some products risk managers are advised to set reserves up to the price of the product.TOPICS: Options, interest-rate and currency swaps