We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for regulatory purposes throughout the period from the beginning of 2001 to the end of 2004. One task of a supervisor is to estimate the 'recalibration factor', i.e. by how much a bank...

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

We present an analysis of VaR forecasts and Pamp;L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. We introduce the notion of well-behaved forecast systems, that allows to use more powerful inference on the level of conservativenessof VaR...