RT Journal Article SR Electronic T1 A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios JF The Journal of Fixed Income FD Institutional Investor Journals SP 5 OP 15 DO 10.3905/jfi.2007.688961 VO 17 IS 1 A1 Lionel Martellini A1 Jean-Christophe Meyfredi YR 2007 UL https://pm-research.com/content/17/1/5.abstract AB This article introduces a multi-variate copula approach to Value-at-Risk estimation for fixed-income portfolios. Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a Student copula to model the dependence structure of these factors, we are able to generate VaR estimates that strongly dominate standard VaR estimates in formal out-of-sample tests.TOPICS: Fixed income and structured finance, VAR and use of alternative risk measures of trading risk