Evaluating VaR Forecasts under Stress – The German Experience

Stefan Jaschke, Gerhard Stahl and Richard Stehle

No 2003/32, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.

Keywords: banking supervision; VaR; exploratory data analysis; backtesting (search for similar items in EconPapers)
JEL-codes: G28 K23 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200332

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