<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0123-5923</journal-id>
<journal-title><![CDATA[Estudios Gerenciales]]></journal-title>
<abbrev-journal-title><![CDATA[estud.gerenc.]]></abbrev-journal-title>
<issn>0123-5923</issn>
<publisher>
<publisher-name><![CDATA[Universidad Icesi]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0123-59232017000100052</article-id>
<article-id pub-id-type="doi">10.1016/j.estger.2017.02.003</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés]]></article-title>
<article-title xml:lang="en"><![CDATA[Measuring the value at risk of fixed-income portfolios using interest ratemulti-factor dynamic models]]></article-title>
<article-title xml:lang="pt"><![CDATA[Medição do valor em risco de carteiras de renda fixa usando modelos multifatoriais dinâmicos de taxas de juro]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Álvarez-Franco]]></surname>
<given-names><![CDATA[Sara Isabel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Restrepo-Tobón]]></surname>
<given-names><![CDATA[Diego Alexander]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Velásquez-Giraldo]]></surname>
<given-names><![CDATA[Mateo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad EAFIT Escuela de Economía y Finanzas ]]></institution>
<addr-line><![CDATA[Medellín ]]></addr-line>
<country>Colombia</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad EAFIT Escuela de Economía y Finanzas ]]></institution>
<addr-line><![CDATA[Medellín ]]></addr-line>
<country>Colombia</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,Universidad EAFIT Escuela de Economía y Finanzas ]]></institution>
<addr-line><![CDATA[Medellín ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2017</year>
</pub-date>
<volume>33</volume>
<numero>142</numero>
<fpage>52</fpage>
<lpage>63</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_arttext&amp;pid=S0123-59232017000100052&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_abstract&amp;pid=S0123-59232017000100052&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_pdf&amp;pid=S0123-59232017000100052&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[RESUMEN En este trabajo se evalúa el desempeño 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 desempeña 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 desempeño. 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 desempeño y ser más adecuados para la gestión del riesgo de portafolios de renta fija.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[ABSTRACT 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.]]></p></abstract>
<abstract abstract-type="short" xml:lang="pt"><p><![CDATA[RESUMO Neste artigo, o desempenho de três modelos dinâmicos da estrutura a prazos das taxas de juros para estimar o valor em risco (VaR, por suatradução de Value at Risk) de carteiras de renda fixa é avaliado. Assim, verificou-se que o modelo de Diebold, Rudebusch e Aruoba funciona adequadamente respeitar no que se refere ao backtesting do VaR; enquanto o modelo de Diebold e Li e um modelo relacionado de não arbitragem apresentam um maudesempenho. Os três modelos assumem que a matriz de variâncias e covariâncias dos fatores latentes em cada modelo é constante, o que limita a sua utilidade no cálculo do Valor em Risco. Portanto, os modelos que relaxam esta hipótese devem proporcionar melhor desempenhoe ser mais adequados para a gestão de risco das carteiras de renda fixa.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Tasas de interés]]></kwd>
<kwd lng="es"><![CDATA[Modelos dinámicos]]></kwd>
<kwd lng="es"><![CDATA[Valor en riesgo]]></kwd>
<kwd lng="es"><![CDATA[Portafolios de renta fija]]></kwd>
<kwd lng="en"><![CDATA[Interest rates]]></kwd>
<kwd lng="en"><![CDATA[Dynamic models]]></kwd>
<kwd lng="en"><![CDATA[Value at risk]]></kwd>
<kwd lng="en"><![CDATA[Fixed income portfolios]]></kwd>
<kwd lng="pt"><![CDATA[Taxas de juros]]></kwd>
<kwd lng="pt"><![CDATA[Modelos dinámicos]]></kwd>
<kwd lng="pt"><![CDATA[Valor em risco]]></kwd>
<kwd lng="pt"><![CDATA[Carteiras de renda fixa]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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