A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors

作者：Tu Anthony H; Chen Cathy Yi Hsuan^*

来源：Journal of Empirical Finance, 2018, 45: 243-268.

DOI：10.1016/j.jempfin.2017.11.010

• Nelson-Siegel factor-augmented model
• Value-at-risk
• Backtests
• Conditional predictability

Based on the Nelson-Siegel term structure framework, we develop a new factor-augmented model for the computation of the value-at-risk (VaR) of bond portfolios, and examine whether the inclusion of information contained within macroeconomic variables and financial stress shocks can enhance the accuracy of VaR forecasts. We examine three Citi US bond indices and the empirical results reveal that: (1) based upon the geometric-VaR backtest, proposed by Pelletier and Wei (2016), the new factor-augmented approach provides reasonably accurate VaR forecasts; (2) there is a clear tendency toward better VaR forecasting performance as a result of the inclusion of the macroeconomic variables and financial stress shocks in the Nelson-Siegel factor model; (3) the impact of the inclusion of financial stress shocks appears to be stronger than the impact of the inclusion of the macroeconomic variables.

• 出版日期2018-1
• 单位闽江学院