Une Evaluation des Procédures de Backtesting

Christophe Hurlin and Sessi Tokpavi ()

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Abstract: This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) forecasts. It is well known that VaR backtesting procedures outlined by the Basel Committee for Banking Supervision have limited power to control the probability of accepting an incorrect VaR forecast. In this study, we propose an original approach based on the replication of these tests on six different VaR forecasts (parametric or non parametric) for a given asset. We show that backtests generally lead to not reject the accuracy of all (or most of) these different forecasts. In other words, most of VaR forecasts are likely to be considered as valid.

Keywords: Value-at-Risk; Backtesting (search for similar items in EconPapers)
Date: 2007-07-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00159846
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Citations: View citations in EconPapers (6)

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Working Paper: Une évaluation des procédures de Backtesting (2007)
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