TY - JOUR T1 - A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios JF - The Journal of Fixed Income SP - 5 LP - 15 DO - 10.3905/jfi.2007.688961 VL - 17 IS - 1 AU - Lionel Martellini AU - Jean-Christophe Meyfredi Y1 - 2007/06/30 UR - https://pm-research.com/content/17/1/5.abstract N2 - 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 ER -