Backtesting beyond VaR

Wolfgang Härdle and Gerhard Stahl

No 1999,105, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows that backtesting based on shortfall is very sensitive with respect to the underlying assumptions.

Date: 1999
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