| Research Title | Value-at-Risk Modelsfor Fixed Income and Derivatives Portfolios | |
| Research Personnel |
Leader: Staff: |
Dr. Elvira P. de Lara-Tuprio Dr. Emmanuel A. Cabral (Co-researcher) |
| Research Duration |
Start: End: |
2 April 2012 1 April 2013 |
| Research Location | Manila, Quezon City | |
| Research Description | New methods in measuring VaR (a widely used measure fo financial risk) | |
| Research Objectives | To present new approaches in measuring value-at-risk (VaR) for fixed income portfolio | |
| Research Beneficiary(ies) | banking industries & other corporate entities that engage in derivatives transaction | |
| Research Accoplishments | Procedures for implementing the following interest rate modes: Nelson-Siegel modela nd Cox-Ingersoll-Ross stochastic model | |
| Total Research Cost | ₱239,730 | |
| Research Agencies |
Funding: Implementing: Cooperating: Monitoring: |
NRCP Dept. of Mathematics, ADMU Ateneo de Manila University NRCP |
| Research Budget Breakdown |
Year: Year Funded: PS: MOOE: EO: Total Cost Date Released Amount Released |
1 2012 to 2013 ₱163,200 ₱56,530 ₱ 239,730 |
| Code | N2012-C2-2 | |
| KRA Code | Rapid, Equitable and Sustained Economic Growth (Nanotechnology) | |
| Priority Thrust |
DOST R&D |
|
| Sector | Applied Sciences | |
| Actual Sector | Banking Industry | |
| Related sectors | Business | |
