Option-based risk management of a bond portfolio under regime switching interest rates

In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices. Copyright Springer-Verlag 2013

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Year of publication:	2013
Authors:	Antonelli, Fabio ; Ramponi, Alessandro ; Scarlatti, Sergio
Published in:	Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 36.2013, 1, p. 47-70
Publisher:	Springer
Subject:	Value at Risk \| Bond portfolio \| Regime switching models \| Semi-affine term structure \| T-forward measures

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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