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Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model

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dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.contributor.institucionBanco de la República - Colombiaspa
dc.contributor.institucionUniversidad de la Sabanaspa
dc.coverage.ciudadBogotáspa
dc.creatorGomez-Gonzalez, Jose Eduardospa
dc.creatorGualtero-Briceño, Danielaspa
dc.creatorMelo-Velandia, Luis Fernandospa
dc.date.accessioned2021-02-25T21:24:38Zspa
dc.date.available2021-02-25T21:24:38Zspa
dc.date.created2021-02-25spa
dc.description.abstractRises 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.eng
dc.format.extent31 páginasspa
dc.format.mimetypePDFspa
dc.identifier.urihttps://repositorio.redinvestigadores.org/handle/Riec/96spa
dc.language.isoengeng
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.numberNo. 75spa
dc.relation.repechttps://ideas.repec.org/p/rie/riecdt/75.htmleng
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.subject.jelC46 - Specific Distributions; Specific Statisticseng
dc.subject.jelC52 - Model Evaluation, Validation, and Selectioneng
dc.subject.jelC58 - Financial Econometricseng
dc.subject.jelG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwilleng
dc.subject.keywordValue at Riskeng
dc.subject.keywordBanks' market riskeng
dc.subject.keywordDynamic copula modelseng
dc.subject.keywordBack-testingeng
dc.subject.lembRiesgo de cartera -- Análisisspa
dc.subject.lembModelos de Evaluación -- Análisisspa
dc.titleEstimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula modeleng
dc.typeWorking papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de Trabajospa

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