a 'violation' is defined as an event where an observation exceeds VaR; p usually denotes the probability of violations; I {A} denotes the indicator function
back4.pdf
The mathematical roots of VaR calculation were developed already in the context of portfolio theory by Harry Markowitz and others in the 1950s Financial
Pedro%20Diogo%20Guimar%C3%A3es%20Rodrigues.pdf
The idea is simply to use only historical market data in calculation of VaR for the current portfolio The first step of historical simulation is to identify
hse_ethesis_12049.pdf
captured by the risk engine used to calculate VaR, and second, that the methodologies implemented for the subsequent VaR calculation are apposite and do,
LBEX-DOCID%20382975.pdf
To the extent that the backtesting program is viewed purely as a statistical test of the integrity of the calculation of the value-at-risk measure, it is
bcbs22.pdf
If you have the statistical distribution of the values in the future, then you can define at a certain confidence level e g 95 how much is the loss in your
SSRN_ID2443419_code1953765.pdf
data periods in terms of market conditions for VaR calculation and VaR backtesting affects the performance of VaR methods in general
36-57%20Article%203.pdf
3 6 Backtesting sur la VaR l'aspect crise par la définition d'une nouvelle approche de calcul de l'indicateur de risque
BUS_M_2013_SALHI_KHALED.pdf