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seen Oct 23 '12 at 19:29

Oct
23
comment VaR for corporate bonds
cheers. I was thinking about doing a stress with DV01. The reason I wanted to use VaR was just to give an overall portfolio 'risk' measure to be used to compare portfolios. I think if i am consistent with the DV01 estimate it will allow me to get some risk measure for the bond part of the portfolio, the question is just how much. If am using annualized volatility for the equity part (at 16-18%) I would need to get something for IG near 4.5% and HY 11.5%
Oct
22
asked VaR for corporate bonds
Oct
10
comment performance attribution
Tks for the feedback any software suggestions? or models listed somewhere I could look at to give me a clue as to what you are referring to
Oct
5
awarded  Student
Oct
5
asked performance attribution