interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at … related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is … to determine how non-linear estimation models fit in case of ZCBs that are traded on NSE and to verify whether they offer …

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

maturity approaches. Given that the historical simulation method for computing value at risk (VaR) requires a stationary …