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A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps

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  • Niffikeer, Cindy I.
  • Hewins, Robin D.
  • Flavell, Richard B.

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  • Niffikeer, Cindy I. & Hewins, Robin D. & Flavell, Richard B., 2000. "A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1903-1932, December.
  • Handle: RePEc:eee:jbfina:v:24:y:2000:i:12:p:1903-1932
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    References listed on IDEAS

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    1. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
    2. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 449-463, September.
    3. T.S. Ho & Richard C. Stapleton & Marti G. Subrahmanyam, 1998. "The risk of a currency swap: a multivariate-binomial methodology," European Financial Management, European Financial Management Association, vol. 4(1), pages 9-27.
    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    6. Choi, Seungmook & Wohar, Mark E., 1995. "The expectations theory of interest rates: Cointegration and factor decomposition," International Journal of Forecasting, Elsevier, vol. 11(2), pages 253-262, June.
    7. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
    8. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October.
    9. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
    10. Ho, Teng-Suan & Stapleton, Richard C & Subrahmanyam, Marti G, 1995. "Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1125-1152.
    11. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
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    1. repec:anm:alpnmr:v:5:y:2017:i:1:p:147-162 is not listed on IDEAS
    2. Pilar Abad & Alfonso Novales, 2002. "The Forecasting Ability of Factor Models of the Term Structure of IRS Markets," Documentos de Trabajo del ICAE 0221, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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