Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Berens, Tobias | - |
dc.contributor.author | Weiß, Gregor N.F. | - |
dc.contributor.author | Wied, Dominik | - |
dc.contributor.author | Ziggel, Daniel | - |
dc.date.accessioned | 2013-08-27T13:20:10Z | - |
dc.date.available | 2013-08-27T13:20:10Z | - |
dc.date.issued | 2013-08-27 | - |
dc.identifier.uri | http://hdl.handle.net/2003/30557 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5604 | - |
dc.description.abstract | 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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;29/2013 | - |
dc.subject | backtesting | en |
dc.subject | Monte Carlo simulation | en |
dc.subject | Value-at-Risk | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | A new set of improved value-at-risk backtests | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2913_SFB823_Ziggel_Berens_Weiß_Wied.pdf | DNB | 390.69 kB | Adobe PDF | View/Open |
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