Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...