A simple and focused backtest of value at risk

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dc.contributor.authorKrämer, Walter
dc.contributor.authorWied, Dominik
dc.date.accessioned2015-06-29T12:16:15Z
dc.date.available2015-06-29T12:16:15Z
dc.date.issued2015
dc.description.abstractWe 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.en
dc.identifier.urihttp://hdl.handle.net/2003/34125
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7514
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;17/2015
dc.subjectbacktestingen
dc.subjectvalue at risken
dc.subjectpoweren
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleA simple and focused backtest of value at risken
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.dnb.deposittruede

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