Add to ORKGThis paper develops a new test to evaluate Value at Risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a challenging problem, and popular VaR forecast relies on unrealistic assumptions. Hence, assessing the performance of VaR is of great im-portance. We propose the geometric-VaR test which utilizes the duration between the violations of VaR as well as the value of VaR. We conduct a Monte Carlo study based on desk-level data and we find that our test has high power against various alternatives
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) fore...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test frame...
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test frame...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than ...
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that th...
When comparing the traditional financial risk measurements, Value at Risk(VaR) has its benefits for ...
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) fore...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. Th...
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test frame...
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test frame...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than ...
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that th...
When comparing the traditional financial risk measurements, Value at Risk(VaR) has its benefits for ...
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due ...
This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) fore...