Backtesting beyond VaR
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The authors presented a backtesting procedure for measuring forecast quality of VaR models. The obtained empirical results highlight the better calibration and resolution of VaR forecast based on an exponential weighting scheme compared to a rectangular moving average scheme. For the entire collection see [Zbl 0943.00038].
Recommendations
- Backtesting expected shortfall and beyond
- Backtesting VaR and expectiles with realized scores
- Backtesting Parametric Value-at-Risk With Estimation Risk
- A review of backtesting for value at risk
- Extending the limits of backtesting via the `vanishing p'-approach
- Estimating and backtesting risk under heavy tails
- Backtesting aggregate risk
- Asymptotic properties of duration-based VaR backtests
- Backtesting extreme value theory models of expected shortfall
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
Cited in
(9)- A simple and focused backtest of value at risk
- Statistical inference for time-inhomogeneous volatility models.
- Asymptotic properties of duration-based VaR backtests
- Backtesting VaR and expectiles with realized scores
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Backtesting value-at-risk: a generalized Markov test
- A review of backtesting for value at risk
- Value-at-risk forecasts under scrutiny—the German experience
- On the appropriateness of inappropriate VaR models
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