登入選單

返回Google圖書搜尋

A New Set of Improved Value-at-risk Backtests

Tobias BerensGregor N. F. WeissDaniel ZiggelDominik Wied

出版	SSRN, 2013
URL	http://books.google.com.hk/books?id=nUp0jwEACAAJ&hl=&source=gbs_api

註釋

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both one-sided and two-sided testing, which leads to a significantly increased power. Second, we stress the importance of testing the property of independent and identically distributed (i.i.d.) VaR-exceedances and propose a simple approach that explicitly tests for the presence of clusters in VaR-violation processes. Results from a simulation study indicate that our tests significantly outperform competing backtests in several distinct settings.