A new set of improved value-at-risk backtests

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dc.contributor.authorBerens, Tobias
dc.contributor.authorWeiß, Gregor N.F.
dc.contributor.authorWied, Dominik
dc.contributor.authorZiggel, Daniel
dc.date.accessioned2013-08-27T13:20:10Z
dc.date.available2013-08-27T13:20:10Z
dc.date.issued2013-08-27
dc.description.abstractWe propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both directional and non-directional testing and is thus able to test separately whether a VaR-model is too conservative or underestimates the actual risk exposure. Second, we stress the importance of testing the property of independent and identically distributed (i.i.d.) VaRexceedances and propose a simple approach that explicitly tests for the presence of clusters in VaR-violation processes. Results from a simulation study indicate that our tests significantly outperform competing backtests in several distinct settings. In addition, the empirical analysis of a unique data set consisting of asset returns of an asset manager’s portfolios underline the usefulness of our new backtests especially in times of market turmoil.en
dc.identifier.urihttp://hdl.handle.net/2003/30557
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-5604
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;29/2013
dc.subjectbacktestingen
dc.subjectMonte Carlo simulationen
dc.subjectValue-at-Risken
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleA new set of improved value-at-risk backtestsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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