Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on...

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...