Backtesting beyond VaR

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows that backtesting based on shortfall is very sensitive with respect to the underlying assumptions.

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Year of publication:	1999
Authors:	Härdle, Wolfgang ; Stahl, Gerhard
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1999,105
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983815