Risk Value of a Portfolio of Fixed Income Instruments
DOI:
https://doi.org/10.18779/csye.v5i1.440Keywords:
Pareametrics, Backsting, Financial instruments, Bons, Investment gradeAbstract
To demonstrate the loss of an asset from a portfolio of bonds that are listed on the stock market, this research is based on VAR (asset risk value) models, a technique that allows knowing the profitability of a financial asset. a portfolio of bonds of listed companies, the model will determine the risk of the financial asset from historical data taken from the investing page, applying the Parametric models and using the non-parametric model, or free distribution, to use the hypothesis of the observed data. In addition, to determine what would have happened to the strategy, if we had acted, the backtesting methodology was applied.
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