Search Results - subject:"Backtesting"

Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transportation sector during covid-19

Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19

Historical Simulation VaR and Delta Normal VaR. The backtesting methodologies encompass Kupiec's POF test, the Independence Test …

Persistent link: https://www.econbiz.de/10014497424

Comparative analysis of futures contract cross-hedging effectiveness for soybean : models and insights

Erasmus, M. C.; Geyser, J. M. - In: Agrekon 63 (2024) 4, pp. 319-336

Persistent link: https://www.econbiz.de/10015189472

Multinomial backtesting of distortion risk measures

Bettels, Sören; Kim, Sojung; Weber, Stefan - In: Insurance : mathematics and economics 119 (2024), pp. 130-145

Persistent link: https://www.econbiz.de/10015067217

Herausforderungen des finanziellen Risikomanagements : eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen

Barz, Till; Nastansky, Andreas - 2024

Verteilungsannahmen und Gewichtungsmethoden analysiert. Unter anderem erfolgt eine systematische Überprüfung mittels Backtesting für den … Verteilungsannahmen und Gewichtungsmethoden analysiert. Unter anderem erfolgt eine systematische Überprüfung mittels Backtesting für den … and weighting methods. Among other methods, a systematic evaluation using backtesting is conducted for the observation …

Persistent link: https://www.econbiz.de/10015121111

Multivariate spectral backtests of forecast distributions under unknown dependencies

Balter, Janine; McNeil, Alexander J. - In: Risks : open access journal 12 (2024) 1, pp. 1-15

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...

Persistent link: https://www.econbiz.de/10014480976

Volatility and models based on the extreme value theory for gold returns

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

verified using the backtesting procedure proposed by Acerbi and Szekely. The results show that EVT models provide more accurate …

Persistent link: https://www.econbiz.de/10015125518

Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen

Barz, Till; Nastansky, Andreas - 2024

Verteilungsannahmen und Gewichtungsmethoden analysiert. Unter anderem erfolgt eine systematische Überprüfung mittels Backtesting für den … Verteilungsannahmen und Gewichtungsmethoden analysiert. Unter anderem erfolgt eine systematische Überprüfung mittels Backtesting für den … distributional assumptions and weighting methods. Among other methods, a systematic evaluation using backtesting is conducted for the …

Persistent link: https://www.econbiz.de/10015607809

The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry

Saadah, Siti; Suhartoko, Yohanes B.; Uyanto, Stanislaus S. - In: Cogent Business & Management 11 (2024) 1, pp. 1-11

. According to results of a backtesting analysis using dynamic quantile (DQ) test at a 95% confidence level performed in this …

Persistent link: https://www.econbiz.de/10015457319

Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166

Persistent link: https://www.econbiz.de/10014432866

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568

Persistent link: https://www.econbiz.de/10014314760