Resumo

ALVAREZ-FRANCO, Sara Isabel; RESTREPO-TOBON, Diego Alexander  e  VELASQUEZ-GIRALDO, Mateo. Measuring the value at risk of fixed-income portfolios using interest ratemulti-factor dynamic models. estud.gerenc. [online]. 2017, vol.33, n.142, pp.52-63. ISSN 0123-5923.  https://doi.org/10.1016/j.estger.2017.02.003.

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.

Palavras-chave : Interest rates; Dynamic models; Value at risk; Fixed income portfolios.

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