Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve
The Basle II Accord motivates a study of permissible internal models which can potentially decrease risk capital requirements. A PCA-GARCH interest rate risk model is considered. PCA is introduced to reduce dimensionality in the Philippine Government Curve. Volatility dynamics are modeled using diff...
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oai:animorepository.dlsu.edu.ph:etd_doctoral-10992020-09-28T07:48:02Z Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve Pasamonte, Joseph Norman D. The Basle II Accord motivates a study of permissible internal models which can potentially decrease risk capital requirements. A PCA-GARCH interest rate risk model is considered. PCA is introduced to reduce dimensionality in the Philippine Government Curve. Volatility dynamics are modeled using different GARCH extensions. Finally, the selected PCA-GARCH model is tested under the Basle framework for market risk, using a representative fixed-income portfolio. Research findings show that a PCA-GARCH specified model can adequately capture the volatility dynamics in term structure of Philippine interest rates using two principal components and shows significant potential as an internal model for Value-at-Risk and Market Risk Capital under the Basle standard. 2005-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_doctoral/100 Dissertations Animo Repository Interest rates -- Mathematical models |
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Interest rates -- Mathematical models Pasamonte, Joseph Norman D. Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
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The Basle II Accord motivates a study of permissible internal models which can potentially decrease risk capital requirements. A PCA-GARCH interest rate risk model is considered. PCA is introduced to reduce dimensionality in the Philippine Government Curve. Volatility dynamics are modeled using different GARCH extensions. Finally, the selected PCA-GARCH model is tested under the Basle framework for market risk, using a representative fixed-income portfolio. Research findings show that a PCA-GARCH specified model can adequately capture the volatility dynamics in term structure of Philippine interest rates using two principal components and shows significant potential as an internal model for Value-at-Risk and Market Risk Capital under the Basle standard. |
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Pasamonte, Joseph Norman D. |
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Pasamonte, Joseph Norman D. |
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Pasamonte, Joseph Norman D. |
title |
Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
title_short |
Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
title_full |
Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
title_fullStr |
Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
title_full_unstemmed |
Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve |
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interest rate term structure dynamics using pca and garch models with application to the philippine government curve |
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Animo Repository |
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2005 |
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https://animorepository.dlsu.edu.ph/etd_doctoral/100 |
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