Name
Abstract | ||
|---|---|---|
This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall (ES) as proxies for the extreme risk inherent from trading a bond position. In particular, we concern ourselves with the average tail behavior of the real-world profit/loss distribution for a bond position. We investigate the risk behaviors of a bond position under some stochastic interest rate models including the Merton model, the Vasicek model, and the Cox–Ingersoll–Ross (CIR) model. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.mcm.2011.11.070 | Mathematical and Computer Modelling |
Keywords | Field | DocType |
Risk measures,Stochastic interest rate models,Tail risk,Expected shortfall | Bond,Actuarial science,Interest rate risk,Interest rate,Vasicek model,Rendleman–Bartter model,Tail risk,Mathematics,Value at risk,Expected shortfall | Journal |
Volume | Issue | ISSN |
56 | 9 | 0895-7177 |
Citations | PageRank | References |
0 | 0.34 | 4 |
Authors | ||
5 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Na Song | 1 | 14 | 2.30 |
| Tak Kuen Siu | 2 | 114 | 20.25 |
| Farzad Alavi Fard | 3 | 0 | 0.68 |
| Wai-Ki Ching | 4 | 683 | 78.66 |
| Eric S. Fung | 5 | 32 | 3.09 |