Value at risk for Philippine fixed income market

The study proposes an internal Value at Risk methodology to assess major Philippine banks interest rate risk exposure. The term structure of volatility of Philippine Fixed Income Market is estimated through orthogonal GARCH model pioneered by Alexander and Chibumba (1997). For practical application...

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Bibliographic Details
Main Author: Rodriguez, Joshanna Mae Carteciano
Format: text
Language:English
Published: Animo Repository 2013
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etd_masteral/4392
https://animorepository.dlsu.edu.ph/context/etd_masteral/article/11230/viewcontent/CDTG005373_P.pdf
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Institution: De La Salle University
Language: English

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