Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio

Autor:	Mirjana Ilić, Nenad Vunjak, Evica Petrović, Milica D. Obadović
Rok vydání:	2016
Předmět:	Economics and Econometrics 050208 finance Actuarial science Bond 05 social sciences Confidence interval Interest rate risk interest rate risk Value-at risk (VaR) model deltanormal method bond portfolio financial market Expected shortfall Stock exchange 0502 economics and business Statistics Economics Portfolio 050207 economics Portfolio optimization Rate risk
Zdroj:	Economic research-Ekonomska istraživanja Volume 29 Issue 1
ISSN:	1848-9664 1331-677X
DOI:	10.1080/1331677x.2016.1174391
Popis:	Interest rate risk is immanent to all sorts of bonds with a fixed interest rate and has a major impact on the value of the bond. The aim of this article is to evaluate this risk over a period of five years (2008–2012), applying the delta-normal Value-at-Risk (VaR) method to a portfolio consisting of bonds that were continuously traded at the Belgrade Stock Exchange and to assess the accuracy of the method for different confidence levels in that period. The results demonstrated that the method underestimated the risk for the confidence levels of 99.5% and 99% and overestimated the risk for the confidence level of 90%.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e29b23cc4d00c5ce35d9c7e0c7718610 https://doi.org/10.1080/1331677x.2016.1174391 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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