Interest Rate Risk Management Based on Copula-GARCH Models

Henry Penikas and Varvara Simakova ()
Additional contact information
Varvara Simakova: Higher School of Economics, Russia

Applied Econometrics, 2009, vol. 13, issue 1, 3-36

Abstract: The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the traditional approach which neglects the asymmetry and the fat tails of interest rates joint multivariate distribution. R software is used for practical implementation of the introduced methodology when dealing with copulas.Copula application makes it possible to reveal that the interest rates joint multivariate distribution is asymmetric, i.e. interest rates tend more frequently to rise simultaneously, than to decline. It is also shown that copulas help diminish the expected value of equity-at-risk breaches by 7–13% depending on the chosen confidence level

Keywords: copula; EVEaR; interest rate risk; Russia; MosPrime; OFZ; yield curve (search for similar items in EconPapers)
JEL-codes: D81 E47 G32 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2009_1_3-36.pdf Full text (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:ris:apltrx:0026

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().