Authors: | Bücher, Axel Posch, Peter N. Schmidtke, Philipp |
Title: | Using the extremal index for value-at-risk backtesting |
Language (ISO): | en |
Abstract: | We introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences. We introduce a sequence of relative excess returns whose extremal index has to be estimated. We compare our backtest to both popular and recent competitors using Monte-Carlo simulations and find considerable power in many scenarios. In an applied section we perform realistic out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls of our approach. |
Subject Headings: | VaR backtesting risk measures independence extremal index |
Subject Headings (RSWK): | Value at Risk Statistischer Test Schätzverfahren Extremwertstatistik |
URI: | http://hdl.handle.net/2003/37201 http://dx.doi.org/10.17877/DE290R-19196 |
Issue Date: | 2018 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2518_Bücher_Posch_Schmidtke.pdf | DNB | 425.4 kB | Adobe PDF | View/Open |
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