Pulled-to-par returns for zero-coupon bonds historical simulation value at risk
Due to bond prices pull-to-par, zero-coupon bond 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' his...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2021
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.21/13480 |
| Country: | Portugal |
| Oai: | oai:repositorio.ipl.pt:10400.21/13480 |