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dc.contributor.authorWinker, Peteren_US
dc.contributor.authorMaringer, Dietmaren_US
dc.date.accessioned2009-01-29T13:41:49Z-
dc.date.available2009-01-29T13:41:49Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/21874-
dc.description.abstractValue at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first problem, several approaches have been suggested including the historical simulation method. The optimization problem can be tackled using recent advances in heuristic optimization algorithms. However, our application to bond portfolios shows that a solution to the two aforementioned problems gives rise to a third one: the actual VaR of bond portfolios optimized under a VaR constraint might exceed its nominal level to a large extent. Thus, optimizing bond portfolios under a VaR constraint might increase risk. This finding is of relevance not only for investors, but even more so for bank regulation authorities.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesResearch notes working paper series 13en_US
dc.subject.jelG28en_US
dc.subject.jelG11en_US
dc.subject.jelC16en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordVaRen_US
dc.subject.keywordrisken_US
dc.subject.keywordportfolio optimizationen_US
dc.subject.keywordheuristic optimizationen_US
dc.subject.stwValue at Risken_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwHeuristisches Verfahrenen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwTheorieen_US
dc.titleThe Hidden Risks of Optimizing Bond Portfolios under VaRen_US
dc.typeWorking Paperen_US
dc.identifier.ppn396410227en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:dbrrns:13-
Appears in Collections:Research Notes, Deutsche Bank Research

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