-based tests also perform well in many cases. JEL Codes: G21, G32 Keywords: Risk Management, Backtesting, Volatility … important guidance for choosing realistic P/L generating processes in our Monte Carlo comparison of backtesting methods. In … backtesting VaR estimates and it suggests a few new approaches as well. Section 5 presents the results of a detailed horserace …

, namely backtesting. …

, C53, G12 Keywords: Backtesting, Value-at-Risk, Expected Shortfall, Long Mem- ory, Fractional Integrated Volatility …- ies. We employ evaluation by backtesting procedure to investigate and select models that predict the VaR accurately and … used and their specifications. Section 3 present and overview on Backtesting VaR valuation methods. In section 4 we present …

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at …

-modeling). In order to choose one model among the various forecasting methods, we employ a two-stage backtesting procedure. In the … first one, we implement two backtesting criteria (unconditional and conditional coverage) to test the statistical accuracy …

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by … geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting …