Value at risk for the term structure of interest rates : an orthogonal approach

Value at Risk is the maximum potential loss of a portfolio with a given probability during a period of time. This tool is extremely useful for hedging portfolio decisions as making efficient strategies by controlling for the incremental risk. The principal challenge of this risk measure is the accur...

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Autores:
López Reina, Diego Nicolás
Tipo de recurso:
Trabajo de grado de pregrado
Fecha de publicación:
2006
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/22595
Acceso en línea:
http://hdl.handle.net/1992/22595
Palabra clave:
Riesgo (Finanzas) - Investigaciones - Modelos econométricos
Administración de riesgos - Investigaciones
Valor en riesgo - Modelos matemáticos
Administración
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Villaquiran Lacouture, Andrés Joséca82741d-e10b-490c-be28-0ab6358484d9500López Reina, Diego Nicolás549942dc-6e42-41b6-9090-a0e6ef0eb8ee5002018-09-28T23:19:44Z2018-09-28T23:19:44Z2006http://hdl.handle.net/1992/22595u270813.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Value at Risk is the maximum potential loss of a portfolio with a given probability during a period of time. This tool is extremely useful for hedging portfolio decisions as making efficient strategies by controlling for the incremental risk. The principal challenge of this risk measure is the accuracy of the loss estimation which depends on the particular model used. In this sense, the main objective of this paper is to present an adequate methodology in order to measure market risk for fixed income portfolios. It evaluates risk related to the yield curve in time by using Principal Components Analysis, Orthogonal Garch and Key Rates Durations. Using dynamic conditional correlations as the simulation under stress scenarios let ensure a Value at Risk. Models output generate dynamic hedging strategies as portfolio management in a coherent way fitting positions taken in the market.Administrador de EmpresasPregrado38 hojasapplication/pdfengUniandesAdministraciónFacultad de Administracióninstname:Universidad de los Andesreponame:Repositorio Institucional SénecaValue at risk for the term structure of interest rates : an orthogonal approachTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesishttp://purl.org/coar/resource_type/c_7a1fhttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TPRiesgo (Finanzas) - Investigaciones - Modelos econométricosAdministración de riesgos - InvestigacionesValor en riesgo - Modelos matemáticosAdministraciónPublicationTEXTu270813.pdf.txtu270813.pdf.txtExtracted texttext/plain69744https://repositorio.uniandes.edu.co/bitstreams/f228e826-1e44-4e9d-8645-ceb7c7e438ea/download0525bbacb0584bb56d74f74ead7aa3c1MD54THUMBNAILu270813.pdf.jpgu270813.pdf.jpgIM Thumbnailimage/jpeg14314https://repositorio.uniandes.edu.co/bitstreams/fc88dc99-c8bc-48f6-8ed9-ae0c7a7c341f/download8e1db4813ef6a738af59a6525e546aa5MD55ORIGINALu270813.pdfapplication/pdf328702https://repositorio.uniandes.edu.co/bitstreams/8242d0b0-e467-48ed-8dd6-2fdf94bc6418/downloadef18914b275c264117e3b6e62036ad48MD511992/22595oai:repositorio.uniandes.edu.co:1992/225952023-10-10 16:41:17.096http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.es_CO.fl_str_mv Value at risk for the term structure of interest rates : an orthogonal approach
title Value at risk for the term structure of interest rates : an orthogonal approach
spellingShingle Value at risk for the term structure of interest rates : an orthogonal approach
Riesgo (Finanzas) - Investigaciones - Modelos econométricos
Administración de riesgos - Investigaciones
Valor en riesgo - Modelos matemáticos
Administración
title_short Value at risk for the term structure of interest rates : an orthogonal approach
title_full Value at risk for the term structure of interest rates : an orthogonal approach
title_fullStr Value at risk for the term structure of interest rates : an orthogonal approach
title_full_unstemmed Value at risk for the term structure of interest rates : an orthogonal approach
title_sort Value at risk for the term structure of interest rates : an orthogonal approach
dc.creator.fl_str_mv López Reina, Diego Nicolás
dc.contributor.advisor.none.fl_str_mv Villaquiran Lacouture, Andrés José
dc.contributor.author.none.fl_str_mv López Reina, Diego Nicolás
dc.subject.keyword.es_CO.fl_str_mv Riesgo (Finanzas) - Investigaciones - Modelos econométricos
Administración de riesgos - Investigaciones
Valor en riesgo - Modelos matemáticos
topic Riesgo (Finanzas) - Investigaciones - Modelos econométricos
Administración de riesgos - Investigaciones
Valor en riesgo - Modelos matemáticos
Administración
dc.subject.themes.none.fl_str_mv Administración
description Value at Risk is the maximum potential loss of a portfolio with a given probability during a period of time. This tool is extremely useful for hedging portfolio decisions as making efficient strategies by controlling for the incremental risk. The principal challenge of this risk measure is the accuracy of the loss estimation which depends on the particular model used. In this sense, the main objective of this paper is to present an adequate methodology in order to measure market risk for fixed income portfolios. It evaluates risk related to the yield curve in time by using Principal Components Analysis, Orthogonal Garch and Key Rates Durations. Using dynamic conditional correlations as the simulation under stress scenarios let ensure a Value at Risk. Models output generate dynamic hedging strategies as portfolio management in a coherent way fitting positions taken in the market.
publishDate 2006
dc.date.issued.none.fl_str_mv 2006
dc.date.accessioned.none.fl_str_mv 2018-09-28T23:19:44Z
dc.date.available.none.fl_str_mv 2018-09-28T23:19:44Z
dc.type.spa.fl_str_mv Trabajo de grado - Pregrado
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dc.publisher.program.es_CO.fl_str_mv Administración
dc.publisher.faculty.es_CO.fl_str_mv Facultad de Administración
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