We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for … the 'recalibration factor', i.e. by how much a bank over- or underestimates its VaR. The Basel traffic light approach to … backtesting, which maps the count of exceptions in the trailing year to a multiplicative penalty factor, can be viewed as a way to …