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Variance reduction technique for calculating value at risk in fixed income portfolios
Abad, Pilar
Benito, Sonia

Data: 2010
Resum: Financial institutions and regulators increasingly use Value at Risk (VaR) as a standard measure for market risk. Thus, a growing amount of innovative VaR methodologies is being developed by researchers in order to improve the performance of traditional techniques. A variance-covariance approach for fixed income portfolios requires an estimate of the variance-covariance matrix of the interest rates that determine its value. We propose an innovative methodology to simplify the calculation of this matrix. Specifically, we assume the underlying interest rates parameterization found in the model proposed by Nelson and Siegel (1987) to estimate the yield curve. As this paper shows, our VaR calculating methodology provides a more accurate measure of risk compared to other parametric methods.
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Llengua: Anglès
Document: article ; recerca ; publishedVersion
Matèria: Value at Risk ; Fixed Income Portfolios ; Market risk ; Nelson and Siegel model
Publicat a: SORT : statistics and operations research transactions, Vol. 34, Núm. 1 (January-June 2010) , p. 21-44, ISSN 1696-2281

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