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Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
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Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix; Pitera, Marcin - In: Journal of risk 22 (2019) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
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Performance testing of margin models using time series similarity
Wong, Max Chan Yue; Pei, Patrick Ge - In: The journal of financial market infrastructures 5 (2017) 4, pp. 50-75
Persistent link: https://www.econbiz.de/10011729223
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Backtesting of value at risk methodology : analysis of banking shares in India
Patra, Biswajit; Padhi, Puja - In: Margin: the journal of applied economic research 9 (2015) 3, pp. 254-277
Persistent link: https://www.econbiz.de/10011400407
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Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam - In: The journal of risk model validation 9 (2015) 2, pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …
Persistent link: https://www.econbiz.de/10010344866
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A simple and focused backtest of value at risk
Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
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What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
Persistent link: https://www.econbiz.de/10011437907
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Risk models-at-risk
Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92
Persistent link: https://www.econbiz.de/10010410376