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 |
Files in This Item:
File | Description | Size | Format | |
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DP_1715_SFB823_Krämer_Wied.pdf | DNB | 277.11 kB | Adobe PDF | View/Open |
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