Backtesting Value-at-Risk: A Duration-Based Approach

Peter Christoffersen
Authors registered in the RePEc Author Service: Denis Pelletier

Journal of Financial Econometrics, 2004, vol. 2, issue 1, 84-108

Abstract: Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample settings. Our contribution is the exploration of new tools for backtesting based on the duration of days between the violations of the Value-at-Risk. Our Monte Carlo results show that in realistic situations, the new duration-based tests have considerably better power properties than the previously suggested tests. Copyright 2004, Oxford University Press.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (169)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbh004 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Backtesting Value-at-Risk: A Duration-Based Approach (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().