Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related … to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk … possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …