We present an analysis of VaR forecasts and Pamp;L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. We introduce the notion of well-behaved forecast systems, that allows to use more powerful inference on the level of conservativenessof VaR...

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....

Within an internal model the Economic Scenario Generator (ESG) is an important component. In order to get a regulatory approval of an internal model it is required that the implemented models (must be) passed a rigorous validation process, see Ceiops [2009]. In this paper we focus on the...