We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …