3
Quantification of Spread Risk by Means of Historical Simulation
3.1
Introduction
3.2
Risk Categories - a Definition of Terms
3.3
Descriptive Statistics of Yield Spread Time Series
3.3.1
Data Analysis with XploRe
3.3.2
Discussion of Results
3.4
Historical Simulation and Value at Risk
3.5
Mark-to-Model Backtesting
3.6
VaR Estimation and Backtesting with XploRe
3.7
P-P Plots
3.8
Q-Q Plots
3.9
Discussion of Simulation Results
3.10
XploRe for Internal Risk Models
Bibliography