Search Results - subject:"Backtesting"

An Econometric Analysis of Financial Data in Risk Management

Fantazzini, Dean - In: Applied Econometrics 10 (2008) 2, pp. 91-137

The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...

Persistent link: https://www.econbiz.de/10009002154

Backtesting Parametric Value-at-Risk with Estimation Risk

Escanciano, Juan Carlos; Olmo, Jose - Center for Applied Economics and Policy Research … - 2007

accuracy of the VaR model (backtesting procedures) have become of crucial practical importance. In this paper we show that the … use of the standard unconditional and independence backtesting procedures to assess VaR models in out-of-sample composite … dynamic parametric VaR models and to correct standard backtesting procedures to provide valid inference in out …

Persistent link: https://www.econbiz.de/10005547988

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - Nationale Bank van België/Banque national de Belqique (BNB) - 2007

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...

Persistent link: https://www.econbiz.de/10005001396

Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2007

CAC 40) has been reserved for backtesting purposes. The results we report demonstrate that conditional POT-EVT method …

Persistent link: https://www.econbiz.de/10005836231

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - 2007

Persistent link: https://www.econbiz.de/10011617381

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; González, Fernando; Winkler, Gerhard - 2007

The aims of this paper are twofold: first, we attempt to express the threshold of a single "A" rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...

Persistent link: https://www.econbiz.de/10011638970