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Historical Value at Risk models applied to Italian floating rate government bonds

Ottink, N. (2009) Historical Value at Risk models applied to Italian floating rate government bonds. Master's Thesis / Essay, Mathematics.

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Abstract

Historical simulation Value at Risk (HVaR) uses the nonparametric historical distribution of risk factors to estimate extreme percentiles of the profit and loss distribution. Simple (equally weighted) HVaR as well as age and volatility weighted approaches of HVaR are applied to Italian oating rate government bonds. Risk factors of these oaters are derived from observed market prices. EWMA and (multivariate) GARCH models are used in the volatility weighted approach to translate historical shocks in risk factors to current volatility levels. The backtest results show that volatility weighted approaches are most accurate: they have the correct exceedance rate and VaR exceedances are serially independent.

Item Type: Thesis (Master's Thesis / Essay)
Degree programme: Mathematics
Thesis type: Master's Thesis / Essay
Language: English
Date Deposited: 15 Feb 2018 07:28
Last Modified: 15 Feb 2018 07:28
URI: http://fse.studenttheses.ub.rug.nl/id/eprint/8577

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