Similar Search Results

Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

Pei, Pei - 2011

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in … forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights …

Persistent link: https://www.econbiz.de/10013132320

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos - 2012

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used 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...

Persistent link: https://www.econbiz.de/10013108779

Deriving a lower bound for the proportion of perceivers in replicated difference tests by means of multiple test theory

Meyners, Michael - 2002

Analyzing repeated difference tests aims in significance testing for differences as well as in estimating the mean discrimination ability of the consumers. In addition to the average success probability, the proportion of consumers that may detect the difference between two products and...

Persistent link: https://www.econbiz.de/10009770524