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...
- 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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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 |
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2018-09-28T23:19:44Z |
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Trabajo de grado - Pregrado |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/bachelorThesis |
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http://purl.org/coar/resource_type/c_7a1f |
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u270813.pdf |
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reponame:Repositorio Institucional Séneca |
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38 hojas |
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