Simulation of the term structure. An application for measuring the interest rate risk

Mirta González () and María Cecilia Pérez ()
Additional contact information
Mirta González: Central Bank of Argentina
María Cecilia Pérez: Central Bank of Argentina

No 201570, BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department

Abstract: In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a portfolio. An application of alpha-stable distributions has allowed representing the asymmetric, leptokurtic and heavy tailed shape of financial returns and occurrence of extreme scenarios.

Keywords: interest rate risk; regulation; risk management; term structure (search for similar items in EconPapers)
JEL-codes: C15 C16 E43 E59 G11 G12 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2015-11
New Economics Papers: this item is included in nep-mac and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bcra.gov.ar/Pdfs/Investigaciones/WP_70_2015e.pdf Versión en Español (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcr:wpaper:201570

Access Statistics for this paper

More papers in BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Federico Grillo ().