A simple and focused backtest of value at risk

DOI10.1016/J.ECONLET.2015.10.028zbMATH Open1398.91687OpenAlexW1782262690MaRDI QIDQ1667928FDOQ1667928

Authors: Dominik Wied, Walter Krämer 

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/34125

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zbMATH Keywords

powervalue at riskbacktesting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Copula-MGARCH with continuous covariance decomposition

Cited In (14)

• Evaluating value-at-risk models via quantile regression
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Backtesting aggregate risk
• Early Detection Techniques for Market Risk Failure
• Backtesting value-at-risk: a generalized Markov test
• Testing VaR under Basel III with application to no-failure setting
• Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device
• A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
• Value-at-risk forecasts under scrutiny—the German experience
• Asymptotic properties of duration-based VaR backtests
• Extending the limits of backtesting via the `vanishing \(p\)'-approach
• Backtesting portfolio value‐at‐risk with estimated portfolio weights
• A review of backtesting for value at risk

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