Variance reduction technique for calculating value at risk in fixed income portfolios

MaRDI QIDQ3579797zbMATH OpenFDO

Authors Pilar Abad, Sonia Benito

Publication date 10 August 2010

Full work available at URL http://www.idescat.cat/sort/artpublished.html

zbMATH Keywords

value at riskmarket riskfixed income portfoliosNelson and Siegel model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(6)

• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
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• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
• Calculation of the value at risk of the term structure of bond interest rates in Shanghai securities exchange
• Variance Reduction Techniques for Estimating Value-at-Risk

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