Backtesting value-at-risk: a generalized Markov test

DOI10.1002/FOR.2456MaRDI QIDQ4687625zbMATH OpenOpenAlexWikidataFDO

Authors Thor Pajhede

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2456

zbMATH Keywords

durationlikelihood ratiomarket risk managementquantile

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) Statistical methods; risk measures (91G70)

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• Asymptotic properties of duration-based VaR backtests
• Model selection based on value-at-risk backtesting approach for GARCH-type models
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• Backtesting portfolio value‐at‐risk with estimated portfolio weights
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• Testing VaR under Basel III with application to no-failure setting
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