TY  - JOUR 
TI  - Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés
PY  - 2017
issn 0123-5923
AB  - In this article we assess the performance of three interest rate dynamic term structure models in order
to estimate the Value at Risk (VaR) of fixed-income portfolios. We find that that the model proposed
by Diebold, Rudebusch and Aruoba performs appropriately in VaR backtesting statistical tests, while the
model from Diebold and Li and a no-arbitrage akin term structure model display serious problems. The
three models assume that the variance-covariance matrix for their underlying factors is constant, which
limits their usefulness in estimating the VaR. Therefore, those models that relax this assumption should
perform better and be more adequate for risk-management of fixed-income portfolios.
KW  - Modelos dinámicos
KW  - Tasas de interés
KW  - Valor en riesgo
UR  - http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2413
ER  -