VAR analytics: Portfolio structure, key rate convexities, and VAR betas - A new approach to determining the VAR of a portfolio

Journal of Portfolio Management

Volumn 23, Issue 1, 1996, Pages 89-98

  Ho, Thomas S Y ^a   Chen, Michael Z H ^b   Eng, Fred H T ^b  

^a Global Adv Technology Corporation   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030637370     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409580     Document Type: Article

References (8)

1. Beder, T. "VAR: Seductive but Dangerous." Financial Analysts Journal, September-October 1995.
2. Crnkovic, C., and J. Drachman. "A Universal Toll to Discriminate Among Risk Measurement Techniques." Corporate Risk Management Group, J.P. Morgan & Co, Inc., September 26, 1995.
3. Ho, T. "Key Rate Durations: Measures of Interest Rate Risks." Journal of Fixed Income, September 1992.
4. Kao, D.-L., and J.G. Kallberg. "Strategies for Measuring and Managing Risk Concentrations in Loan Portfolios." Journal of Commercial Lending, January 1994.
5. Kupiec, P. "Techniques for Verifying the Accuracy of Risk Measurement Models." Journal of Derivatives, Winter 1995.
6. McCoy, W. "Bond Dynamic Hedging and Return Attribution: Empirical Evidence." Journal of Portfolio Management, Winter 1995.
7. "RiskMetrics-Technical Document." Third edition. Morgan Guaranty Trust Company Global Research, May 1995.
8. Wilson, T. "Plugging the Gap." Risk, October 1994.