PT  - JOURNAL ARTICLE
AU  - Lionel Martellini
AU  - Jean-Christophe Meyfredi
TI  - A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios
AID  - 10.3905/jfi.2007.688961
DP  - 2007 Jun 30
TA  - The Journal of Fixed Income
PG  - 5--15
VI  - 17
IP  - 1
4099  - https://pm-research.com/content/17/1/5.short
4100  - https://pm-research.com/content/17/1/5.full
AB  - 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