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
As a technique for evaluating the quality of a firm's risk measurement model, backtesting continues to evolve New approaches to backtesting are still being
bcbs22.pdf
data periods in terms of market conditions for VaR calculation and VaR backtesting affects the performance of VaR methods in general
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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
appropriate and diverse backtesting methodologies In this study I test VaR estimates obtained from an unconditional parametric models (student-t
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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
31 juil 2017 · Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates
MPRA_paper_80418.pdf
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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