Authors: Wied, Dominik
Weiß, Gregor N. F.
Ziggel, Daniel
Title: Evaluating value-at-risk forecasts
Other Titles: A new set of multivariate backtests
Language (ISO): en
Abstract: We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect first-order instationarities in the matrix of VaR-violations. Second, we propose χ 2-tests for detecting cross-sectional and serial dependence in the VaR-forecasts. Moreover, we combine our new backtests with a test of unconditional coverage to yield two new backtests of multivariate conditional coverage. In all cases, a bootstrap approximation is possible, but not mandatory in terms of empirical size and power.
Subject Headings: Model Risk
Multivariate Backtesting
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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