MONTERREY, Mexico--(BUSINESS WIRE)-- Fitch Ratings has published the report 'Value at Risk (VaR): Analysis of VaR in Bond Funds', which aims to explain the relevance of VaR measurement during the analysis of market risk incurred by bond funds, resulting from the inclusion of more complex types of securities in the investment regimes.

The report also mentions the different VaR models that are currently used by bond funds and the importance of having a comparable measure for the total market of bond funds by unifying the model, time horizon, and confidence level to be used; these constitute the key elements of such measurement.

VaR complements the market risk analysis of a fund as well as the measures on duration and reset period, which are used to determine the classification of bond funds according to their short-, medium-, or long-term horizon of investment.

Other important aspect included in the report is the analysis of the VaR limits that have been established by bond funds according to their level of rating, in order to observe trends in the limitation of risk.

VaR is a market risk measure recognized worldwide and used by bond funds, investment bankers, and banking institutions, among others, with the purpose of having an additional tool for management and control of risks. The use of VaR was established by the National Banking and Securities Commission in the Mutual Funds Circular Letter published in December 2006.

The full report and the ratings list of the bond funds rated by Fitch are available at 'www.fitchratings.com' and 'www.fitchmexico.com'.

Additional information is available at 'www.fitchratings.com' and 'www.fitchmexico.com'.

The information used in the analysis was provided by bond funds rated by Fitch, and / or obtained from public sources.

Applicable Criteria and Related Research:

--'Boletin Informativo: Sociedades de Inversion en Instrumentos de Deuda Segundo Trimestre 2011' (July 28, 2011);

--'National Ratings Criteria' (Jan. 19, 2011).

Applicable Criteria and Related Research: Value at Risk (VaR) Analysis of VaR in Bond Funds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651891

Boletin Informativo: Sociedades de Inversion en Instrumentos de Deuda Segundo Trimestre 2011

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652450

National Ratings Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=595885

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CONTACT:

Fitch Ratings
Bertha Cantu, +52-81-8399-9128
Director
Fitch Mexico, S.A. de C.V.
Prol. Alfonso Reyes 2612
Monterrey, N.L., Mexico
or
Adriana Beltran, +52-81-8399-9151
Director
or
Media Relations:
Cindy Stoller, New York, +1 212-908-0526
cindy.stoller@fitchratings.com

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