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What is Verifying Risk Measurement Accuracy about?

This study examines statistical techniques that can be used to verify the accuracy of risk measurement models that estimate value at risk (VaR). The study finds that formal statistical procedures require large samples to reliably assess how accurately a model predicts low probability losses. Verification tests based on historical profits and losses have little power with small samples, so many years of performance data are needed. Estimates of 0.01 critical values from historical simulation models also exhi

Author

Denise Oliveira

Language

EN