Bee, Marco; Miorelli, Fabrizio - Dipartimento di Economia e Management, Università … - 2010
This paper presents a backtesting exercise involving several VaR models for measuring market risk in a dynamic context. The focus is on the comparison of standard dynamic VaR models, ad hoc fat-tailed models and the dynamic Peaks over Threshold (POT) procedure for VaR estimation with different...