Multi-period VaR Estimation for Risky Bond Portfolio---Combining Intrinsic Valuation and Fourier Transform Method
| Autor: | Kuo-Ching Yang, 楊國經 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 Analyzing a risky bond portfolio formed mainly of corporate bonds with different cash flows, maturities, ratings and industries is much more complicated than analyzing a single bond. The purpose of this study (by combining the intrinsic valuation and the Fourier Transform approaches) is to develop an integrated method for endogenously estimating a credit portfolio’s multi-period expected recovery rates. These are useful in estimating the daily value at risk (VaR) of risky bond portfolios. To be more specific, we adopt a cash-flow based structure form credit model and employ a Fourier Transform method with a factor model to handle the default correlation issues. From this, we get the portfolio’s expected recovery rate for each time vertex. By applying the portfolio’s expected recovery rate to the discount portfolio’s cash flows, the risky bond portfolio can be transferred into one that is risk-free. Consequently, the daily VaR can be calculated according to the RiskMetrics method. This study presents an empirical comparison of VaR and real portfolio daily returns. The results show that the estimation of the VaR is considerable and that the integrated approach can be a useful tool when dealing with risky bond portfolios. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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