ABAD, PILAR; BENITO, SONIA - In: International Journal of Theoretical and Applied … 12 (2009) 06, pp. 811-832
This work compares the accuracy of different measures of Value at Risk (VaR) of fixed income portfolios calculated on the basis of different multi-factor empirical models of the term structure of interest rates (TSIR). There are three models included in the comparison: (1) regression models, (2)...