Risk management for asset managers: A test of relative VaR

Davide Maspero () and Francesco Saita
Additional contact information
Davide Maspero: IEMIF, Università Bocconi

Journal of Asset Management, 2005, vol. 5, issue 5, No 5, 338-350

Abstract: Abstract Estimating ex ante the potential tracking error of a fund through a Relative VaR measure is an important tool for fund managers. This paper tests the accuracy of Relative VaR and identifies some methodological issues which are extremely important when backtesting them. In particular, while the unconditional accuracy of Relative VaR estimates is high, the assessment of unconditional accuracy is hampered by negative tracking error autocorrelation. The extent of this effect, well known when daily relative returns are used, is shown to be still relevant with weekly data and to decline only on longer time horizons.

Keywords: tracking error; relative value at risk; portfolio management; risk management (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240151 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:pal:assmgt:v:5:y:2005:i:5:d:10.1057_palgrave.jam.2240151

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240151

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().