VaR for a portfolio of Swedish Indexbonds  An empiricial evaluation
(2011) NEKM07 20111Department of Economics
 Abstract
 Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating ValueatRisk for a portfolio of Swedish indexbonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR.
Methodology: In order to calculate the VaR, a portfolio consisting of five Swedish indexbonds is constructed. For this portfolio, oneday VaRestimates are calculated using three different windows and seven methods; Basic historical simulation, Ageweighted historical simulation, Volatilityweighted historical simulation, Normal distribution, Student’s t–distribution, Asymmetric slope and Symmetric... (More)  Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating ValueatRisk for a portfolio of Swedish indexbonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR.
Methodology: In order to calculate the VaR, a portfolio consisting of five Swedish indexbonds is constructed. For this portfolio, oneday VaRestimates are calculated using three different windows and seven methods; Basic historical simulation, Ageweighted historical simulation, Volatilityweighted historical simulation, Normal distribution, Student’s t–distribution, Asymmetric slope and Symmetric absolute value. The methods are evaluated using the Kupiec’s and Christoffersen’s test for unconditional and conditional coverage.
Conclusion: The empirical results show that neither method is able to exactly capture the amount of acceptable exceedances. Though, it is evident that several of the estimated methods are accepted according to the Basel Rules. Also, it can be seen that the volatilityweighted approach is the most suitable method to use when calculating VaR for a portfolio of Swedish Indexbonds during the investigated period. The efficient window of historical observations is deemed to be equal to one year. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/studentpapers/record/2167277
 author
 Johansson, Magnus ^{LU}
 supervisor

 Birger Nilsson ^{LU}
 organization
 course
 NEKM07 20111
 year
 2011
 type
 H2  Master's Degree (Two Years)
 subject
 keywords
 ValueatRisk, Conditional Autoregressive ValueatRisk, Ageweighted historical simulation, Volatilityweighted historical simulation, GARCH (1, 1), Normal distribution, Student’s tdistribution, Christoffersen’s test
 language
 English
 id
 2167277
 date added to LUP
 20110927 08:04:42
 date last changed
 20110927 08:04:42
@misc{2167277, abstract = {Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating ValueatRisk for a portfolio of Swedish indexbonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR. Methodology: In order to calculate the VaR, a portfolio consisting of five Swedish indexbonds is constructed. For this portfolio, oneday VaRestimates are calculated using three different windows and seven methods; Basic historical simulation, Ageweighted historical simulation, Volatilityweighted historical simulation, Normal distribution, Student’s t–distribution, Asymmetric slope and Symmetric absolute value. The methods are evaluated using the Kupiec’s and Christoffersen’s test for unconditional and conditional coverage. Conclusion: The empirical results show that neither method is able to exactly capture the amount of acceptable exceedances. Though, it is evident that several of the estimated methods are accepted according to the Basel Rules. Also, it can be seen that the volatilityweighted approach is the most suitable method to use when calculating VaR for a portfolio of Swedish Indexbonds during the investigated period. The efficient window of historical observations is deemed to be equal to one year.}, author = {Johansson, Magnus}, keyword = {ValueatRisk,Conditional Autoregressive ValueatRisk,Ageweighted historical simulation,Volatilityweighted historical simulation,GARCH (1,1),Normal distribution,Student’s tdistribution,Christoffersen’s test}, language = {eng}, note = {Student Paper}, title = {VaR for a portfolio of Swedish Indexbonds  An empiricial evaluation}, year = {2011}, }