How accurate are Value-at-Risk models at commercial banks?

Jeremy Berkowitz and James M. O'Brien

No 2001-31, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use.

Keywords: Risk; Econometric models (search for similar items in EconPapers)
Date: 2001
New Economics Papers: this item is included in nep-acc and nep-ias
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2001-31

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