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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| Main Author: | |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2013
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| 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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