Impact of cash flow mapping on VaR calculation of bond portfolios
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/26412 |
Resumo: | The exact estimation of Value-at-Risk (VaR) is a constant challenge in risk management. Most authors focus their studies on topics such as volatility estimation models or VaR methods; however, the study of the impact of risk factor mapping on VaR estimation has not received much attention. Thus, this dissertation aims to determine the loss of precision on cash flow mapping on the calculation of the VaR of bond portfolios, comparing different cash flow mapping approaches with an alternative that does not involve cash flow mapping. For this, our study requires yield curve modeling parameters that will allow us to have data for any cash flow maturity. The results highlight the importance of choosing a suitable cash flow mapping, namely, when the cash flows’ maturities are in the short term, to avoid vast errors in all the methods. |
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Impact of cash flow mapping on VaR calculation of bond portfoliosCash flow mappingValue-at-RiskBondsObrigaçõesThe exact estimation of Value-at-Risk (VaR) is a constant challenge in risk management. Most authors focus their studies on topics such as volatility estimation models or VaR methods; however, the study of the impact of risk factor mapping on VaR estimation has not received much attention. Thus, this dissertation aims to determine the loss of precision on cash flow mapping on the calculation of the VaR of bond portfolios, comparing different cash flow mapping approaches with an alternative that does not involve cash flow mapping. For this, our study requires yield curve modeling parameters that will allow us to have data for any cash flow maturity. The results highlight the importance of choosing a suitable cash flow mapping, namely, when the cash flows’ maturities are in the short term, to avoid vast errors in all the methods.A estimação exata do Value-at-Risk (VaR) é um desafio constante na gestão de risco. Deste modo, vários autores focam-se no estudo de diferentes modelos de estimação da volatilidade ou métodos do VaR. Contudo, a análise da influência da escolha do mapeamento de cash flows no cálculo do VaR não se mostra expressiva. Assim, esta dissertação visa determinar a perda de precisão no cálculo do VaR associada ao mapeamento dos cash flows em portefólios de obrigações, comparando diferentes abordagens com uma alternativa que não carece desse procedimento. Para isso, o nosso estudo requer os parâmetros de modelização da curva das taxas de juro que nos possibilita a obtenção de dados para qualquer maturidade. Os resultados desta dissertação enfatizam a importância da escolha de um mapeamento adequado, nomeadamente quando as maturidades dos cash flows são predominantemente de curto prazo para se evitar erros muito elevados.2022-11-11T12:44:09Z2022-10-06T00:00:00Z2022-10-062022-06info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/26412TID:203088093engNunes, Lúcia Gonçalvesinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:32:46Zoai:repositorio.iscte-iul.pt:10071/26412Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:42.920498Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Impact of cash flow mapping on VaR calculation of bond portfolios |
title |
Impact of cash flow mapping on VaR calculation of bond portfolios |
spellingShingle |
Impact of cash flow mapping on VaR calculation of bond portfolios Nunes, Lúcia Gonçalves Cash flow mapping Value-at-Risk Bonds Obrigações |
title_short |
Impact of cash flow mapping on VaR calculation of bond portfolios |
title_full |
Impact of cash flow mapping on VaR calculation of bond portfolios |
title_fullStr |
Impact of cash flow mapping on VaR calculation of bond portfolios |
title_full_unstemmed |
Impact of cash flow mapping on VaR calculation of bond portfolios |
title_sort |
Impact of cash flow mapping on VaR calculation of bond portfolios |
author |
Nunes, Lúcia Gonçalves |
author_facet |
Nunes, Lúcia Gonçalves |
author_role |
author |
dc.contributor.author.fl_str_mv |
Nunes, Lúcia Gonçalves |
dc.subject.por.fl_str_mv |
Cash flow mapping Value-at-Risk Bonds Obrigações |
topic |
Cash flow mapping Value-at-Risk Bonds Obrigações |
description |
The exact estimation of Value-at-Risk (VaR) is a constant challenge in risk management. Most authors focus their studies on topics such as volatility estimation models or VaR methods; however, the study of the impact of risk factor mapping on VaR estimation has not received much attention. Thus, this dissertation aims to determine the loss of precision on cash flow mapping on the calculation of the VaR of bond portfolios, comparing different cash flow mapping approaches with an alternative that does not involve cash flow mapping. For this, our study requires yield curve modeling parameters that will allow us to have data for any cash flow maturity. The results highlight the importance of choosing a suitable cash flow mapping, namely, when the cash flows’ maturities are in the short term, to avoid vast errors in all the methods. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-11-11T12:44:09Z 2022-10-06T00:00:00Z 2022-10-06 2022-06 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/26412 TID:203088093 |
url |
http://hdl.handle.net/10071/26412 |
identifier_str_mv |
TID:203088093 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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