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Article: Risk measures and behaviors for bonds under stochastic interest rate models

TitleRisk measures and behaviors for bonds under stochastic interest rate models
Authors
Song, NSiu, TKAlavi Fard, FChing, WKFung, ES
KeywordsExpected Shortfall
Risk Measures
Stochastic Interest Rate Models
Tail Risk
Issue Date2012
PublisherPergamon. The Journal's web site is located at http://www.elsevier.com/locate/mcm
Citation
Mathematical And Computer Modelling, 2012, v. 56 n. 9-10, p. 204-217 How to Cite?
DOI: http://dx.doi.org/10.1016/j.mcm.2011.11.070
AbstractThis paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall (ES) as proxies for the extreme risk inherent from trading a bond position. In particular, we concern ourselves with the average tail behavior of the real-world profit/loss distribution for a bond position. We investigate the risk behaviors of a bond position under some stochastic interest rate models including the Merton model, the Vasicek model, and the Cox-Ingersoll-Ross (CIR) model. © 2011 Elsevier Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/156278
ISSN
0895-7177
2015 Impact Factor: 1.366
ISI Accession Number ID
WOS:000306115500002
Funding AgencyGrant Number
Australian Research Council (ARC)DP1096243
Funding Information:

The authors would like to thank the referee for helpful comments. Tak Kuen Siu would like to acknowledge the Discovery Grant from the Australian Research Council (ARC), (Project No.: DP1096243).

 

DC FieldValueLanguage
dc.contributor.authorSong, Nen_US
dc.contributor.authorSiu, TKen_US
dc.contributor.authorAlavi Fard, Fen_US
dc.contributor.authorChing, WKen_US
dc.contributor.authorFung, ESen_US
dc.date.accessioned2012-08-08T08:41:09Z-
dc.date.available2012-08-08T08:41:09Z-
dc.date.issued2012en_US
dc.identifier.citationMathematical And Computer Modelling, 2012, v. 56 n. 9-10, p. 204-217en_US
dc.identifier.issn0895-7177en_US
dc.identifier.urihttp://hdl.handle.net/10722/156278-
dc.description.abstractThis paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall (ES) as proxies for the extreme risk inherent from trading a bond position. In particular, we concern ourselves with the average tail behavior of the real-world profit/loss distribution for a bond position. We investigate the risk behaviors of a bond position under some stochastic interest rate models including the Merton model, the Vasicek model, and the Cox-Ingersoll-Ross (CIR) model. © 2011 Elsevier Ltd.en_US
dc.languageengen_US
dc.publisherPergamon. The Journal's web site is located at http://www.elsevier.com/locate/mcmen_US
dc.relation.ispartofMathematical and Computer Modellingen_US
dc.subjectExpected Shortfallen_US
dc.subjectRisk Measuresen_US
dc.subjectStochastic Interest Rate Modelsen_US
dc.subjectTail Risken_US
dc.titleRisk measures and behaviors for bonds under stochastic interest rate modelsen_US
dc.typeArticleen_US
dc.identifier.emailChing, WK:wching@hku.hken_US
dc.identifier.authorityChing, WK=rp00679en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.mcm.2011.11.070en_US
dc.identifier.scopuseid_2-s2.0-84863563541en_US
dc.identifier.hkuros213615-
dc.identifier.isiWOS:000306115500002-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridSong, N=36466983800en_US
dc.identifier.scopusauthoridSiu, TK=8655758200en_US
dc.identifier.scopusauthoridAlavi Fard, F=54683328600en_US
dc.identifier.scopusauthoridChing, WK=13310265500en_US
dc.identifier.scopusauthoridFung, ES=7005440799en_US
dc.identifier.citeulike10128774-
dc.identifier.issnl0895-7177-

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