This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system. Our...

This paper presents a new tool for validating Value-at-Risk (VaR) models. This tool, called the Risk Map, jointly accounts for the number and the magnitude of the VaR exceptions and graphically summarizes all information about the performance of a risk model. It relies on the concept of VaR...