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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Main Author: Pasamonte, Joseph Norman D.
Format: text
Published: Animo Repository 2005
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Online Access:https://animorepository.dlsu.edu.ph/etd_doctoral/100
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Institution: De La Salle University
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spelling 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
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
topic Interest rates -- Mathematical models
spellingShingle 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
description 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.
format text
author Pasamonte, Joseph Norman D.
author_facet Pasamonte, Joseph Norman D.
author_sort 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
title_sort interest rate term structure dynamics using pca and garch models with application to the philippine government curve
publisher Animo Repository
publishDate 2005
url https://animorepository.dlsu.edu.ph/etd_doctoral/100
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