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VaR for newly issued bonds

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Considering that I will be using the delta normal approach to calculate the VaR of a newly issued govt security, how do I go about getting the volatility of its ytm?

The bond is not a zero coupon bond. Is it recommended to use proxies which have sufficient data points to calculate the vol? I am also considering using the interpolated rate from the daily benchmark yield curve (e.g. if there is 30 days remaining to maturity then I will get the historical rate for a 30 day).