Repository logo
 
Publication

Pulled-to-par returns for zero-coupon bonds historical simulation value at risk

2020-05-06Journal article Restricted access
Simple item page
dc.contributor.authorBeleza Sousa, João
dc.contributor.authorEsquível, Manuel L.
dc.contributor.authorGaspar, R. M.
dc.date.accessioned2021-06-24T16:06:22Z
dc.date.available2021-06-24T16:06:22Z
dc.date.issued2020-05-06
dc.description.abstractDue to bond prices pull-to-par, zero-coupon bond historical returns are not stationary, as they tend to zero as time to maturity approaches. Given that the historical simulation method for computing value at risk (VaR) requires a stationary sequence of historical returns, zero-coupon bonds' historical returns cannot be used to compute VaR by historical simulation. Their use would systematically overestimate VaR, resulting in invalid VaR sequences. In this paper, we propose an adjustment of zero-coupon bonds' historical returns. We call the adjusted returns "pulled-to-par" returns. We prove that when the zero-coupon bonds' continuously compounded yields-to-maturity are stationary, the adjusted pulled-to-par returns allow VaR computation by historical simulation. We firstly illustrate the VaR computation in a simulation scenario, and then, we apply it to real data on eurozone STRIPS.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationSOUSA, J. Beleza; ESQUÍVEL, Manuel L.; GASPAR, Raquel M. – Pulled-to-par returns for zero-coupon bonds historical simulation value at risk. Journal of Statistical Theory and Practice. ISSN 1559-8608. Vol. 14, N.º 2 (2020), pp. 1-18pt_PT
dc.identifier.doi10.1007/s42519-020-00092-wpt_PT
dc.identifier.eissn1559-8616
dc.identifier.issn1559-8608
dc.identifier.urihttp://hdl.handle.net/10400.21/13480
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringerpt_PT
dc.relationCMA-UID/MAT/00297/2019pt_PT
dc.relationCEMAPRE-UID/MULTI/00491/2019pt_PT
dc.subjectHistorical simulationpt_PT
dc.subjectValue at riskpt_PT
dc.subjectZero-coupon bondpt_PT
dc.titlePulled-to-par returns for zero-coupon bonds historical simulation value at riskpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage18pt_PT
oaire.citation.issue2pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleJournal of Statistical Theory and Practicept_PT
oaire.citation.volume14pt_PT
person.familyNameBeleza Sousa
person.familyNameEsquivel
person.familyNameGaspar
person.givenNameJoão
person.givenNameManuel L.
person.givenNameRaquel
person.identifierR-000-A6Q
person.identifier.ciencia-id2A13-B96F-375C
person.identifier.ciencia-id1015-F6E1-0909
person.identifier.orcid0000-0002-5944-8104
person.identifier.orcid0000-0003-4991-7568
person.identifier.orcid0000-0003-3294-3962
person.identifier.ridC-8266-2009
person.identifier.scopus-author-id14037446800
person.identifier.scopus-author-id37101218900
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationf39f2734-6e3c-4a60-848e-dad4c5da7741
relation.isAuthorOfPublication69e0e912-37cf-4cbf-8964-cb9ed795eb28
relation.isAuthorOfPublication2d345cff-d5f1-432a-8308-7b394c7e22ce
relation.isAuthorOfPublication.latestForDiscovery69e0e912-37cf-4cbf-8964-cb9ed795eb28

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Pulled-to-par_JBSousa.pdf
Size:
1.35 MB
Format:
Adobe Portable Document Format
Download

Collections

ISEL - Eng. Elect. Tel. Comp. - Artigos