We consider the general <italic>n</italic>-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2<italic>n</italic> state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...

This article shows that value-at-risk (VaR), the most popular risk measure in financial practice, has a considerable positive bias when used for a portfolio with fat-tail distribution. The bias increases with higher confidence level, heavier tails, and smaller sample size. Also, the...

We consider the general n-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2n state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...