A simple and focused backtest of value at risk
| dc.contributor.author | Krämer, Walter | |
| dc.contributor.author | Wied, Dominik | |
| dc.date.accessioned | 2015-06-29T12:16:15Z | |
| dc.date.available | 2015-06-29T12:16:15Z | |
| dc.date.issued | 2015 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/34125 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7514 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;17/2015 | |
| dc.subject | backtesting | en |
| dc.subject | value at risk | en |
| dc.subject | power | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | A simple and focused backtest of value at risk | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |