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What is Value-at-Risk Backtest Power Evaluation about?

This document evaluates the power of backtests used to validate Value-at-Risk (VaR) models. VaR models provide quantile forecasts for potential losses. Backtests assess if the number and timing of realized losses (called "breaches") match what the VaR model predicted. The document conducts an extensive study comparing the most recognized backtests. It simulates return data with intentional misspecifications and applies the backtests to see which can best identify misspecified VaR models. The study finds the

Author

Hhp Ym

Language

EN