|Title:||A simple and focused backtest of value at risk|
|Abstract:||We suggest a simple improvement of recent VaR-backtesting procedures based on time intervals between VaR-exceedances and show via Monte Carlo that our test has more power than its competitors against empirically relevant clustering alternatives.|
value at risk
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
Files in This Item:
|DP_1715_SFB823_Krämer_Wied.pdf||DNB||277.11 kB||Adobe PDF||View/Open|
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