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Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés

Author

Listed:
  • Diego Alexander Restrepo-Tobón

    ()

  • Sara Isabel Álvarez-Franco
  • Mateo Velásquez-Giraldo

Abstract

En este trabajo se evalúa el desempe˜no de tres modelos dinámicos de la estructura a plazos de tasas de interés para estimar el valor en riesgo (VaR, por su traducción de Value at Risk) de portafolios de renta fija. De esta forma, se encuentra que el modelo de Diebold, Rudebusch y Aruoba se desempe˜na adecuadamente respecto a las pruebas de backtesting del VaR, mientras que el modelo de Diebold y Li y un modelo afín de no arbitraje exhiben un pobre desempe˜no. Los tres modelos asumen que la matriz de varianzas y covarianzas de los factores latentes a cada modelo es constante, lo cual limita su utilidad en el cálculo del VaR. Por lo tanto, modelos que relajen este supuesto deberían ofrecer un mejor desempe˜no y ser más adecuados para la gestión del riesgo de portafolios de renta fija.

Suggested Citation

  • Diego Alexander Restrepo-Tobón & Sara Isabel Álvarez-Franco & Mateo Velásquez-Giraldo, 2017. "Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés," Estudios Gerenciales, Universidad Icesi, vol. 33(124), pages 52-63, March.
  • Handle: RePEc:col:000129:015553
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2413
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    More about this item

    Keywords

    Tasas de interés; Modelos dinámicos; Valor en riesgo; Portafolios de renta fija;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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