Value at risk models for Dutch bond portfolios

Bibliographic Details
Authors and Corporations: Vlaar, Peter J.G.
Title: Value at risk models for Dutch bond portfolios
In: Journal of BANKING & FINANCE, 24, 2000, 7
Summary:This study investigates the consequences of dynamics in the term structure of Dutch interest rates for the accurateness of value-at-risk models. For a ten days holding period, the best results were obtained for a combined variance-covariance Monte Carlo method using a term structure model with a normal distribution and GARCH specification.
Type of Resource:E-Article
Source:Genios (Wirtschaftswissenschaften)