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Publications by Peter J.G. Vlaar

Value at Risk Models for Dutch Bond Portfolios

Journal of Banking and Finance

English

Related publications

Managing Value-At-Risk for a Bond Using Bond Put Options

Computational Economics

Computer Science Applications

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Value-At-Risk and Expected Shortfall for Linear Portfolios With Elliptically Distributed Risk Factors

International Journal of Theoretical and Applied Finance

English

Managing Sovereign Credit Risk in Bond Portfolios

Journal of Advanced Studies in Finance

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Interval Estimation of Value-At-Risk Based on Nonparametric Models

English

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Quantitative Finance

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Bond Risk Premia in Consumption-Based Models

SSRN Electronic Journal

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Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

International Review of Economics and Finance

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Evaluating Interest Rate Covariance Models Within a Value-At-Risk Framework

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Value-At-Risk Analysis for Sukuk Issuance

Advances in Natural and Applied Sciences

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