Authors: Krämer, Walter
Wied, Dominik
Title: A simple and focused backtest of value at risk
Language (ISO): en
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.
Subject Headings: backtesting
value at risk
power
URI: http://hdl.handle.net/2003/34125
http://dx.doi.org/10.17877/DE290R-7514
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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