@article {Martellini5, author = {Lionel Martellini and Jean-Christophe Meyfredi}, title = {A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios}, volume = {17}, number = {1}, pages = {5--15}, year = {2007}, doi = {10.3905/jfi.2007.688961}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article introduces a multi-variate copula approach to Value-at-Risk estimation for fixed-income portfolios. Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a Student copula to model the dependence structure of these factors, we are able to generate VaR estimates that strongly dominate standard VaR estimates in formal out-of-sample tests.TOPICS: Fixed income and structured finance, VAR and use of alternative risk measures of trading risk}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/17/1/5}, eprint = {https://jfi.pm-research.com/content/17/1/5.full.pdf}, journal = {The Journal of Fixed Income} }