This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios.
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
Professor of Finance and Head of the FinanceDepartment at EDHEC Business School
Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a Student copula to model the dependence structure of these factors, we are able to generate VaR estimates that strongly dominate standard VaR estimates in formal out-of-sample tests.
|Research Cluster :||Finance|