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
Date Written: 2009
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: Suggested Citation