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Backtesting Value-at-Risk Models
Company: Helsinki School of Economics
Year Of Publication: 2009
Month Of Publication: April
Pages: 83
Download Count: 94
View Count: 2123
Comment Num: 0
Language: English
Who Can Read: Free
Date: 4-13-2010
Publisher: Administrator
Summary
The performance of the VaR model is measured by applying several different tests of
unconditional coverage and conditional coverage. Three different portfolios (equities,
bonds and equity options) with daily VaR estimates for one year time period are used
in the backtesting process.
The results of the backtests provide some indication of potential problems within the
system. Severe underestimation of risk is discovered, especially for equities and
equity options. However, the turbulent market environment causes problems in the
evaluation of the backtesting outcomes since VaR models are known to be accurate
only under normal market conditions.
Author(s)
Nieppola, Olli Sign in to follow this author
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