Backtesting VaR is used to compare the forecast/predicted losses from the This paper provides a comprehensive review of backtesting methods for VaR
back4.pdf
In order to verify that the results acquired from VaR calculations are a consistent and reliable forecast, the models should always be submitted to backtest
Pedro%20Diogo%20Guimar%C3%A3es%20Rodrigues.pdf
Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on
nbh004.pdf
estimation and backtesting of Value-at-Risk (VaR) and Expected Shortfall (ES), which are the two leading risk measures used in finance
RJ-2018-064.pdf
17 sept 2015 · be used as return variables by var An optional character value, specifying a second variable in x to be used for categorising the data The
backtest.pdf
This study assesses the performance of eight VaR models by means of the unconditional coverage and independence tests The analysis was developed on a
pdf?md5=3ce89a904b49e459ae7bbf05d9604930&pid=1-s2.0-S1877042812035756-main.pdf
The paper presets statistical methods to back test the number of VaR breaches when there is no or some autocorrelation in the P&L daily values It illustrates a
SSRN_ID2443419_code1953765.pdf
In order to evaluate the quality of the VaR estimates, the models should always be backtested with appropriate methods Backtesting is a statistical
hse_ethesis_12049.pdf