2021-02-252021-02-252021-02-25https://repositorio.redinvestigadores.org/handle/Riec/96Rises in sovereign risk adversely affect banks reducing their profits and increasing their funding costs. Impacts are specially strong on banks holding important positions of government debt in the investment portfolios. This study applies a DCC-Copula model to estimate the VaR for a portfolio composed of 30 sovereign bonds from ten different countries and three different maturities. Results indicate that the model proposed in this study outperforms competing benchmark models under various back-testing criteria. The method here developed is useful for global banks holding a diversified portfolio of sovereign bonds, especially in emerging market countries in which banks mostly invest in public debt.31 páginasPDFengOpen AccessWorking paperC46 - Specific Distributions; Specific StatisticsC52 - Model Evaluation, Validation, and SelectionC58 - Financial EconometricsG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; GoodwillValue at RiskBanks' market riskDynamic copula modelsBack-testingRiesgo de cartera -- AnálisisModelos de Evaluación -- AnálisisAcceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0