Abstract:Fixed income emerging markets are an interesting investment alternative. Measuring market risks is mandatory in order to avoid unexpected huge losses. The most used market risk measure is the Value at Risk, based on the profit-loss probability distribution of the portfolio under consideration. Estimating this probability distribution requires the prior estimation of the probability distribution of term structures of interest rates. An interesting possibility is to estimate term structures using a decomposition… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.