BACKTESTING VAR MODELS: THE CASE OF COMMODITIES Page 37 to be a distinct sub-field in the theory of finance The growth of risk management
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Backtesting VaR Models: An Expected Shortfall Approach Timotheos Angelidis Department of Economics, University of Crete, Gallos Campus,74100 Rethymno,
Backtesting_VaR_Models.pdf
This document explains the procedures we follow in order to test the robustness of our internal Value at Risk (VaR) model Ensuring robustness of the model
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The performance of the VaR models is measured by applying several different tests of Unconditional Coverage, Independence and Conditional Coverage The results
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Backtesting VaR models: Quantitative and Qualitative Tests Carlos Blanco and Maksim Oks This is the first article in a two-part series analyzing the
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As the proportion of VaR violations differs from 100? percent, the POF test statistic grows in- dicating mounting evidence that the proposed VaR model either
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Abstract This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the soundness of the VaR model,
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Internal Models Validation in Brazil: Analysis of VaR Backtesting Methodologies Revista Brasileira de Finanças, vol 4, núm 1, 2006, pp 363-384
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