A review of backtesting for value at risk

Y. Zhang and S. Nadarajah

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 15, 3616-3639

Abstract: There have been many backtesting methods proposed for value at risk. Yet they have rarely been applied in practice. Here, we provide a comprehensive review of all of the recent backtesting methods for VaR. This review could encourage applications and also the development of further backtesting methods.

Date: 2018
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/03610926.2017.1361984

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