کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091492 | 1375684 | 2006 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new measure of cross-sectional risk and its empirical implications for portfolio risk management
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A new measure of cross-sectional risk and its empirical implications for portfolio risk management A new measure of cross-sectional risk and its empirical implications for portfolio risk management](/preview/png/5091492.png)
چکیده انگلیسی
Litterman et al. [Litterman, R., Scheinkman, J., Weiss, L., 1991. Volatility and the yield curve. Journal of Fixed Income 1 (June), 49-53] and Engle and Ng [Engle, R.F., Ng, V.K., 1993. Time-varying volatility and the dynamic behavior of the term structure. Journal of Money, Credit and Banking 25(3), 336-349] provide empirical evidence of a relation between yield curve shape and volatility. This study offers theoretical support for that finding in the general context of cross-sectional time series. We introduce a new risk measure quantifying the link between cross-sectional shape and market risk. A simple econometric procedure allows us to represent the risk experienced by cross-sections over a time period in terms of independent factors reproducing possible cross-sectional deformations. We compare our risk measure to the traditional cross-yield covariance according to their relative performance. Empirical investigation in the US interest rate market shows that (1) cross-shape risk factors outperform cross-yield risk factors (i.e., yield curve level, slope, and convexity) in explaining the market risk of yield curve dynamics; (2) hedging multiple liabilities against cross-shape risk delivers superior trading strategies compared to those stemming from cross-yield risk management.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 8, August 2006, Pages 2387-2408
Journal: Journal of Banking & Finance - Volume 30, Issue 8, August 2006, Pages 2387-2408
نویسندگان
Stefano Galluccio, Andrea Roncoroni,