This study investigates the consequences of dynamics in the term structure of Dutch interest rates for the accurateness of value-at-risk models. Therefore, value-at-risk measures are calculated using historical simulation, variance-covariance and Monte Carlo simulation methods. For a ten days holding period, the best results were obtained for a combined variance-covariance Monte Carlo method using a term structure model with a normal distribution and GARCH specification. Term structure models with a t-distribution or with cointegration performed much worse.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.