Value at risk models for Dutch bond portfolios

This study investigates the consequences of dynamics in the term structure of Dutch interest rates for the accurateness of value-at-risk models. Therefore, value-at-risk measures are calculated using both historical simulation, variance-covariance and Monte Carlo simulation methods. For a ten days holding period, the best results were obtained for a combined variance-covariance Monte Carlo method using a term structure model with a normal distribution and GARCH specification. Term structure models with a t-distribution or with cointegration performed much worse. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: E43; G28.