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

zbMATH Open1459.62198MaRDI QIDQ3579797FDOQ3579797

Authors: Pilar Abad, Sonia Benito 

Publication date: 10 August 2010

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

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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)

Cited In (6)

• Var methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return
• Portfolio value-at-risk approximation for geometric Brownian motion
• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
• Calculation of the value at risk of the term structure of bond interest rates in Shanghai securities exchange
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
• Variance Reduction Techniques for Estimating Value-at-Risk

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