Original scientific paper
https://doi.org/10.1080/1331677X.2016.1174391
Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Milica Obadović
Evica Petrović
Nenad Vunjak
Mirjana Ilić
Abstract
Interest rate risk is immanent to all sorts of bonds with a fixed interest
rate and has a major impact on the value of the bond. The aim of this
article is to evaluate this risk over a period of five years (2008–2012),
applying the delta-normal Value-at-Risk (VaR) method to a portfolio
consisting of bonds that were continuously traded at the Belgrade
Stock Exchange and to assess the accuracy of the method for different
confidence levels in that period. The results demonstrated that the
method underestimated the risk for the confidence levels of 99.5%
and 99% and overestimated the risk for the confidence level of 90%.
Keywords
interest rate risk; Value-at risk (VaR) model; deltanormal method; bond portfolio; financial market
Hrčak ID:
171736
URI
Publication date:
22.12.2016.
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