Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
, banks typically
simply use the square root of ten to scale the one-day ahead VaR.
Our umbrella framework for testing the …) apply duration-based tests to the
problem of assessing VaR forecast accuracy. In this section we expand upon their methods … the probability of getting a violation is equal to p. For the Kupiec
test, a multivariate version of the unconditional …