Backtesting market risk models in a standard normality framework

Kevin Dowd

Journal of Risk

Abstract: ABSTRACT This paper looks at various ways in which the problem of evaluating a market risk forecasting model can be reduced to the simple problem of testing for iid standard normality. The transformations involved allow us to extend the onestep ahead Berkowitz backtesting framework and its resulting prediction of iid standard normality to encompass complications associated with truncated distributions, multi-step ahead density forecasting models, multivariate density forecasting models, risk aggregation and parameter uncertainty.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk/2161010/backt ... -normality-framework (text/html)

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:rsk:journ4:2161010

Access Statistics for this article

More articles in Journal of Risk from Journal of Risk
Bibliographic data for series maintained by Thomas Paine (maintainer@infopro-digital.com).