基于风险价值模型的伊斯兰债券与传统债券的比较分析

ERN: Value-at-Risk (Topic) Pub Date : 2016-05-28 DOI:10.2139/ssrn.2786096

Bakhshi Armenovich Kostandyan

{"title":"基于风险价值模型的伊斯兰债券与传统债券的比较分析","authors":"Bakhshi Armenovich Kostandyan","doi":"10.2139/ssrn.2786096","DOIUrl":null,"url":null,"abstract":"The present paper looks into the question of whether it provides the investor diversification benefits to include sukuk (Islamic bonds) in their portfolio of bonds, and what these might be quantitatively. Analysed are sovereign bonds of Bahrain, Pakistan, Qatar, Malaysia, and the UAE. The conclusion is that using sukuk to diversify a portfolio yields substantial benefits.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Comparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model\",\"authors\":\"Bakhshi Armenovich Kostandyan\",\"doi\":\"10.2139/ssrn.2786096\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The present paper looks into the question of whether it provides the investor diversification benefits to include sukuk (Islamic bonds) in their portfolio of bonds, and what these might be quantitatively. Analysed are sovereign bonds of Bahrain, Pakistan, Qatar, Malaysia, and the UAE. The conclusion is that using sukuk to diversify a portfolio yields substantial benefits.\",\"PeriodicalId\":203996,\"journal\":{\"name\":\"ERN: Value-at-Risk (Topic)\",\"volume\":\"2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-05-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Value-at-Risk (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2786096\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Value-at-Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2786096","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

本文探讨了将伊斯兰债券纳入其债券投资组合是否能提供投资者多元化收益的问题，以及这些收益可能是多少。分析的是巴林、巴基斯坦、卡塔尔、马来西亚和阿联酋的主权债券。结论是，使用伊斯兰债券来分散投资组合可以带来可观的收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Comparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model

The present paper looks into the question of whether it provides the investor diversification benefits to include sukuk (Islamic bonds) in their portfolio of bonds, and what these might be quantitatively. Analysed are sovereign bonds of Bahrain, Pakistan, Qatar, Malaysia, and the UAE. The conclusion is that using sukuk to diversify a portfolio yields substantial benefits.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

ERN: Value-at-Risk (Topic)

自引率

0.00%

发文量