Backtesting VaR and ES under the magnifying glass

Volume: 64, Pages: 22 - 37
Published: Jul 1, 2019
Abstract
Backtesting provides the means of determining the accuracy of risk forecasts and the corresponding risk model. Given that the actual return generating process is unknown, the evaluation methods rely on various assumptions in order to quantify the models inefficiencies and proceed with the model evaluation. These method specific assumptions, in conjunction with the regulatory policies can introduce distortions in the evaluation process, which...
Paper Details
Title
Backtesting VaR and ES under the magnifying glass
Published Date
Jul 1, 2019
Volume
64
Pages
22 - 37
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