Fixed-income portfolio management in crisis period: Expected Tail Loss (ETL) approach (notice n° 634078)
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| fixed length control field | 03214cam a2200349 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121175017.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mili, Mehdi |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Fixed-income portfolio management in crisis period: Expected Tail Loss (ETL) approach |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2014.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 42 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Cette étude développe une stratégie efficace pour la gestion de portefeuilles composés de produits à revenu fixe en période de crise. Nous utilisons le ratio de volatilité suggéré par Briere et Szafarz (2008) et l’approche ETL de Litzenberger et Modeste (2008). Notre méthodologie s’applique aux portefeuilles Américains et Européens en utilisant les taux d’intérêt pour différentes échéances sur la période 2002-2010. Lorsque le taux d’intérêt est faible, le portefeuille américain atteint son optimum avec une stratégie de court terme, cependant le portefeuille européen atteint son optimum avec une stratégie à long terme. Les résultats montrent que l’approche ETL est une meilleure mesure du risque de perte comparée à l’approche de la Value-at-Risk (VaR). Nous estimons, également, que le portefeuille Américain (Européen) présente une VaR de -3,6 % (-0,7 %) contre une ETL de -6 % (-0,8 %). Par ailleurs, nous constatons que l’effet du taux d’intérêt à court terme est marginal sur l’ETL du portefeuille américain composé de titres à revenu fixe, et vice versa pour le portefeuille européen. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and European markets of fixed-income products using interest rates at different maturities from 2002 to 2010. U.S. portfolio exhibits its optimum with small amounts of interest rates belonging to the short-term strategy.Whereas the European portfolio exhibits its optimum with small amounts belonging to the long-term strategy. The results show that the ETL is a better measure of the downside risk than the Value-at-Risk (VaR).For instance, the U.S. (European) portfolio has a VaR of -3.6 % (-0.7 %) against an ETL of -6 % (-0.8 %). Moreover, we find that, for these two geographical areas, the short-term interest rates make little contribution to the overall ETL of the American fixed-income portfolio and vice versa for the European portfolio. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Expected Tail Loss |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portefeuille à revenu fixe |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | VaR |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | ETL |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | contagion |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | crise financière |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Fixed-income portfolio |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Expected Tail Loss |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | VaR |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | ETL |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | contagion |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | financial crisis |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | M’Hamdi, Yosro |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Khalfallah, Moez |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Teulon, Frédéric |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Management & Prospective | Volume 31 | 1 | 2014-12-03 | p. 223-240 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-gestion-2000-2014-1-page-223?lang=en&redirect-ssocas=7080">https://shs.cairn.info/revue-gestion-2000-2014-1-page-223?lang=en&redirect-ssocas=7080</a> |
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