Details

Autor(en) / Beteiligte

• Alvarez-Franco, Sara Isabel
• Restrepo-Tobon, Diego Alexander
• Velasquez-Giraldo, Mateo

Titel

Measuring the value at risk of fixed-income portfolios using interest rate multi-factor dynamic models/Medicion del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinamicos de tasas de interes/Medicao do valor em risco de carteiras de renda fixa usando modelos multifatoriais dinamicos de taxas de juro

Ist Teil von

• Estudios gerenciales, 2017-01, Vol.33 (142), p.52

Ort / Verlag

Universidad ICESI

Erscheinungsjahr

2017

Link zum Volltext

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• 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.