A simple and focused backtest of value at risk

Walter Krämer and Dominik Wied

Economics Letters, 2015, vol. 137, issue C, 29-31

Abstract: We suggest a simple improvement of recent VaR-backtesting procedures based on time intervals between VaR-violations and show via Monte Carlo that our test has more power than its competitors against various empirically relevant clustering alternatives.

Keywords: Backtesting; Power; Value at risk (search for similar items in EconPapers)
JEL-codes: C52 C53 C58 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:137:y:2015:i:c:p:29-31

DOI: 10.1016/j.econlet.2015.10.028

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