A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios.

Author(s):

Lionel Martellini

Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre

Jean-Christophe Meyfredi

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.

Type: Working paper
Date: le 01/10/2007
Research Cluster : Finance

See Also

Financial Times ranks EDHEC Executive Education among the Top 10 worldwide
News
- 23-05-2022
EDHEC Business School’s executive education offers rank among the Top 10 globally...
EDHEC partners with VIVATECH 2022 and offers 400 tickets to EDHEC students
News
- 20-05-2022
EDHEC is once again a partner of the unmissable tech event of the year, Viva Technology...
(Invitation) Inauguration of the Management in Innovative Health Chair - May 30, 2022 in Paris
News
- 17-05-2022
Emmanuel Métais, Dean of EDHEC Business School and Christophe Durand, General Manager...
News
- 10-05-2022
Live on YouTube !