Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Bibliographic Data
| ID | 15067769 |
|---|---|
| Authors | Milica Obadović (DDOR Novi Sad a.d.o., Directorate for actuarial jobs, Novi Sad, Serbia, corresponding author), Evica Petrović (University of Nis), Nenad Vunjak (University of Novi Sad), Vunjak Nenad (University of Novi Sad), Mirjana Ilić (University of Belgrade), Mirjana Medić Ilić (0000-0001-5802-808X, University of Belgrade) |
| Year | 2016 |
| Volume | 29 |
| Issue | 1 |
| Pages | 475-484 |
| Publication date | 2016-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2016.1174391 |
| OpenAlex | W2347609960 |
| Language | EN |
| References cited | 1 |
Interest rate risk is immanent to all sorts of bonds with a fixed interest rate and has a major impact on the value of the bond. The aim of this article is to evaluate this risk over a period of five years (2008–2012), applying the delta-normal Value-at-Risk (VaR) method to a portfolio consisting of bonds that were continuously traded at the Belgrade Stock Exchange and to assess the accuracy of the method for different confidence levels in that period. The results demonstrated that the method underestimated the risk for the confidence levels of 99.5% and 99% and overestimated the risk for the confidence level of 90
Actuarial science · Bond · Confidence interval · Econometrics · Economics · Financial economics · Government bond · Interest rate · Interest rate risk · Monetary economics · Portfolio · Risk management · Serbian · Statistics · Stock exchange · Value at risk · Financial Risk and Volatility Modeling · Mathematics · Philosophy · Risk and Portfolio Optimization · Risk Management in Financial Firms · Finance
| Highly cited | No |
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