EconPapers    
Economics at your fingertips  
 

The Risk Map: A New Tool for Validating Risk Models

Gilbert Colletaz (), Christophe Hurlin and Christophe Perignon ()
Additional contact information
Gilbert Colletaz: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of a super exception, which is de.ned as a situation in which the loss exceeds both the standard Value-at-Risk (VaR) and a VaR de.ned at an extremely low coverage probability. We then formally test whether the sequences of exceptions and super exceptions are rejected by standard model validation tests. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.

Keywords: Financial Risk Management; Tail Risk; Basel III (search for similar items in EconPapers)
Date: 2012-10-28
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-rmg and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00746273
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://shs.hal.science/halshs-00746273/document (application/pdf)

Related works:
Journal Article: The Risk Map: A new tool for validating risk models (2013) Downloads
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:hal:wpaper:halshs-00746273

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:wpaper:halshs-00746273