Value-at-Risk for fixed-income portfolios: A Kalman filtering approach
P Date, R Bustreo - IMA Journal of Management Mathematics, 2016 - academic.oup.com
We propose a way of measuring the risk of a sovereign debt portfolio by using a simple two-
factor short rate model. The model is calibrated from data and then the changes in the bond …
factor short rate model. The model is calibrated from data and then the changes in the bond …
Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
P Date, R Bustreo - IMA Journal of Management Mathematics, 2016 - ieeexplore.ieee.org
This paper presents a new heuristic for fast approximation of VaR (Value-at-Risk) and CVaR
(conditional Value-at-Risk) for financial portfolios, where the net worth of a portfolio is a non …
(conditional Value-at-Risk) for financial portfolios, where the net worth of a portfolio is a non …
[PDF][PDF] Bias-corrected maximum likelihood estimation in actuarial science
PH Johnson Jr, Y Qi, YC Chueh - Proceedings of 46th Actuarial …, 2011 - academia.edu
In modeling the rate of return associated with financial instruments, common probability
distributions include the lognormal, gamma, and Weibull distributions. Furthermore, the …
distributions include the lognormal, gamma, and Weibull distributions. Furthermore, the …