Comparing Bond Portfolio Interest Rate Risk Models in Emerging Markets

Student: Rakova Anastasiia

Supervisor: Victor A Lapshin

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2018

In this paper the system of interest risk measurement was developed to compare interest rate risk models. The system has been tested on the government bond portfolios in emerging markets and was implemented on the SAS platform. It consists of sequential operations: interest rate modeling, VaR evaluation and back testing. Also Vasicek, Cox-Ingersoll-Ross, GARCH(1,1) and dynamic Nelson-Siegel models was applied in this system.

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