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Evaluating Value-at-Risk Models with Desk-Level Data
Year Of Publication: 2005
Month Of Publication: October
Pages: 30
Download Count: 670
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 12-27-2005
Publisher: Administrator
We present new evidence on disaggregated profit and loss and VaR forecasts obtainedfrom a large international commercial bank. Our dataset includes daily P/L generated byfour separate business lines within the bank. All four business lines are involved insecurities trading and each is observed daily for a period of at least two years. We alsocollected the corresponding daily, 1-day ahead VaR forecasts for each business line.Given this rich dataset, we provide an integrated, unifying framework for assessing theaccuracy of VaR forecasts. Our approach includes many existing backtesting techniquesas special cases. In addition, we describe some new tests which are suggested by ourframework. A thorough Monte Carlo comparison of the various methods is conducted toprovide guidance as to which of these many tests have the best finite-sample size andpower properties.
Berkowitz, Jeremy Sign in to follow this author
Christoffersen, Peter Sign in to follow this author
Pelletier, Denis Sign in to follow this author
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