This study is conducted by conditional variance of three models using three interest rate of 3mos, 1yr and 3yrs in order to get the VaR of bond portfolio assumed in advance and contributional VaR that computed in the process of decomposition of bond portfolio.
By those portfolio VaR computed, the backtesting was implemented according to confidence level and models adapted. The result on the backtesting has the large difference according to the models and confidence level. That is, GARCH and EGARCH models overstimate the portfolio VaR, while EWMA model underestimate the VaR. And on the result of analysis related contributional VaR, , contrbution for the portfolio VaR is very differnet according to the models. So when we tried to controll the portfolio target risk, the choice of holding and selling the asset is also different. Therefore the contributional VaR is very crucial in the especially managing the target of total portfolio risk
