Value-at-Risk for fixed-income portfolios: a Kalman filtering approach
نویسندگان
چکیده
منابع مشابه
Value-at-Risk for fixed income portfolios: A Kalman filtering approach
We propose a way of measuring the risk of a sovereign debt portfolio by using a simple two-factor short rate model. The model is calibrated from data and then the changes in the bond prices are simulated by using a Kalman filter. The bond prices being simulated remain arbitrage-free, in contrast with principal component analysis based strategies for simulation and risk measurement of debt portf...
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ژورنال
عنوان ژورنال: IMA Journal of Management Mathematics
سال: 2015
ISSN: 1471-678X,1471-6798
DOI: 10.1093/imaman/dpv016