Value-at-Risk-Adjusted Performance for Structured Portfolios

THE VAR MODELING HANDBOOK, pp. 349-374, G.N. Gregoriou, ed., McGraw Hill, 2009

Posted: 9 Jan 2011

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Date Written: 2009

Abstract

The chapter 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.

Keywords: Structured Bonds, EVA, Raroc, Product design

JEL Classification: G11, G13

Suggested Citation

Cocozza, Rosa, Value-at-Risk-Adjusted Performance for Structured Portfolios (2009). THE VAR MODELING HANDBOOK, pp. 349-374, G.N. Gregoriou, ed., McGraw Hill, 2009, Available at SSRN: https://ssrn.com/abstract=1737022

Rosa Cocozza (Contact Author)

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia Monte S. Angelo
Napoli, 80126
Italy
+39/81675083 (Phone)

HOME PAGE: http://www.docenti.unina.it/rosa.cocozza

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