In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices.

Option-based risk management of a bond portfolio under regime switching interest rates

ANTONELLI, FABIO;RAMPONI A;
2013-01-01

Abstract

In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/17623
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