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

Give-Receive - And why not both ?
News
- 17-04-2019
  MAKE A GIFT >   One out of four EDHEC students now benefits from a scholarship...
Researching France: hands-on approach to doing business in France
News
- 10-04-2019
Niels van Meurs is a Dutch exchange student, coming from Maastricht University School...
‘Mosquito killer’ Bart Knols joins the line-up for EDHEC’s new MSc in Global & Sustainable Business
News
- 09-04-2019
The new MSc aims to furnish students with the knowledge, skills, and passion to create...
Are AMBA, AACSB and Equis Accreditations Important When Choosing an MBA?
News
- 08-04-2019
You might have heard or seen the term ‘Triple accreditation’ or the ‘triple-crown’...