Autor(en): | Berens, Tobias Weiß, Gregor N.F. Wied, Dominik Ziggel, Daniel |
Titel: | A new set of improved value-at-risk backtests |
Sprache (ISO): | en |
Zusammenfassung: | We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both directional and non-directional testing and is thus able to test separately whether a VaR-model is too conservative or underestimates the actual risk exposure. Second, we stress the importance of testing the property of independent and identically distributed (i.i.d.) VaRexceedances and propose a simple approach that explicitly tests for the presence of clusters in VaR-violation processes. Results from a simulation study indicate that our tests significantly outperform competing backtests in several distinct settings. In addition, the empirical analysis of a unique data set consisting of asset returns of an asset manager’s portfolios underline the usefulness of our new backtests especially in times of market turmoil. |
Schlagwörter: | backtesting Monte Carlo simulation Value-at-Risk |
URI: | http://hdl.handle.net/2003/30557 http://dx.doi.org/10.17877/DE290R-5604 |
Erscheinungsdatum: | 2013-08-27 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_2913_SFB823_Ziggel_Berens_Weiß_Wied.pdf | DNB | 390.69 kB | Adobe PDF | Öffnen/Anzeigen |
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