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Sukuk vs. Eurobonds :, Is There a Difference in Value-at-Risk?, Faezeh Raei, Selim Cakir

Contributor
Abstract
This paper assesses the impact of bonds issued according to Islamic principles (Sukuk), on the cost and risk structure of investment portfolios by using the Value-at-Risk (VaR) framework. The market for Sukuk has grown tremendously in recent years at about 45 percent a year. Sukuk provide sovereign governments and corporations with access to the huge and growing Islamic liquidity pool, in addition to the conventional investor base. The paper analyzes whether secondary market behavior of Eurobonds and Sukuk issued by the same issuer are significantly different to provide gains from diversification. The analysis, employing the delta-normal as well as Monte-Carlo simulation methods, implies such gains are present and in certain cases very significant
Table Of Contents
Contents; I. Introduction; Tables; 1. Selected Issues of Sukuk; II. Data and Methodology; A. Data; Figure; 1. Aggregate Issuance of Sukuk; 2. Characteristics of Sukuk and Conventional Bonds in the Study; B. Methodology; III. Application to Sukuk and Eurobonds; 3. Correlations of Weekly Returns of Sukuk and Conventional Bonds in Trade Weeks; 4. VaR Estimates; IV. Conclusion; References; Appendices; 1. Algorithm for Monte Carlo Simulation; 2. Variance-Covariance Matrix of Weekly Returns of Bonds in Trade Weeks; 3. VAR Estimates for Portfolios of Equally Weighted Bonds
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (22 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781283512725

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