Skoči na glavni sadržaj

Izvorni znanstveni članak

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


Puni tekst: engleski pdf 1.200 Kb

str. 475-485

preuzimanja: 884

citiraj


Sažetak

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%.

Ključne riječi

interest rate risk; Value-at risk (VaR) model; deltanormal method; bond portfolio; financial market

Hrčak ID:

171736

URI

https://hrcak.srce.hr/171736

Datum izdavanja:

22.12.2016.

Posjeta: 1.544 *