The paper investigates the potential application of Value at Risk metrics to Risk-Adjusted Performance Measures in the case of structured portfolios. The main issue is the appraisal of a decision criterion for portfolio choices with reference to either the asset portfolio given a structured bond or the bond structure given an existing coverage asset portfolio. Such indicators are put into an asset and liability management decision making context, where the relationship between the expected profit and the capital at risk are compared to evaluate the issue of the bond and the expected rate of return of the whole portfolio. An exemplar case provides for practical implementation.

VaR Adjusted Performance for Structured Portfolios / Cocozza, Rosa. - STAMPA. - Finance and Investing:(2009), pp. 349-374.

VaR Adjusted Performance for Structured Portfolios

COCOZZA, ROSA
2009

Abstract

The paper investigates the potential application of Value at Risk metrics to Risk-Adjusted Performance Measures in the case of structured portfolios. The main issue is the appraisal of a decision criterion for portfolio choices with reference to either the asset portfolio given a structured bond or the bond structure given an existing coverage asset portfolio. Such indicators are put into an asset and liability management decision making context, where the relationship between the expected profit and the capital at risk are compared to evaluate the issue of the bond and the expected rate of return of the whole portfolio. An exemplar case provides for practical implementation.
2009
9780071625159
VaR Adjusted Performance for Structured Portfolios / Cocozza, Rosa. - STAMPA. - Finance and Investing:(2009), pp. 349-374.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/300164
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