This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number,...

This paper presents a new tool for validating Value-at-Risk (VaR) models. This tool, called the Risk Map, jointly accounts for the number and the magnitude of the VaR exceptions and graphically summarizes all information about the performance of a risk model. It relies on the concept of VaR...