Backtesting of risk measure estimates is an integral part for an effective risk management. With the growing importance … also calls for suitable backtesting solutions. Although a variety of approaches has been proposed in the past, there is … regulators and financial institutions. Results presented within this thesis confirm that backtesting the ES is indeed not much …

paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec's POF and the …

value at risk (VaR) of the simulations. We also estimate the tail-risk using VaR backtesting. Finally, we use an artificial …

introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for …

regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the …

regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the …

paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec's POF and the …

of different RVaR models, tasks subsumed under the term “comparative backtesting” in finance. This is best done in terms …