Pulled-to-par returns for zero coupon bonds : historical simulation value at risk
Due to bond prices pull-to-par, zero coupon bonds historical returns are not stationary, as they tend to zero as time to maturity approaches. Given that the historical simulation method for computing Value at Risk (VaR) requires a stationary sequence of historical returns, zero coupon bonds historic...
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| Outros Autores: | , |
| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2019
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| Texto completo: | http://hdl.handle.net/10400.5/18423 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/18423 |