文章基本信息

标题：Interest rate risk management - calculating Value at Risk using EWMA and GARCH models
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作者：Trenca, Ioan ; Mutu, Simona
期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2009
卷号：1
期号：10
页码：48-56
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：Value at risk assesses financial risk by evaluating the probability of loss that results from stochastic variation of the rate of return. The methodology is based on historical data reflecting this variation, usually as an estimated probability of default function. The fact that return distributions are not constant over time poses exceptional challenges in the estimation. In order to remedy this problem we can estimate the volatility of the financial variables using EWMA and GARCH models, that are robust to fat-tailedness in the conditional distribution of returns. The assessment of the models’ performance is based on a range of measures that address the conservativeness, accuracy and efficiency of each one.
关键词：value at risk; time varying volatility; EWMA model; GARCH model; interest rate risk