Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
-based tests also perform well in many cases.
JEL Codes: G21, G32
Keywords: Risk Management, Backtesting, Volatility … portfolios. For decades the textbook measure of portfolio risk was the
standard deviation or “volatility”. However, by the …
applying the test to our unique desk-level data sample and we also assess the ability of VaRs to
forecast P/L volatility …