This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of … developed and developing countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec … and Christoffersen, respectively, as well as the Quadratic Loss Function. Results indicate that the performance of VaR as …

traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian …) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect … calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical …