Jaschke, Stefan; Stahl, Gerhard; Stehle, Richard - Center for Financial Studies - 2003
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....
