Abstract

http://ssrn.com/abstract=821715
 
 

Citations



 


 



Backtesting Value-at-Risk: A Duration-Based Approach


Peter Christoffersen


University of Toronto - Rotman School of Management; Copenhagen Business School; University of Aarhus - CREATES

Denis Pelletier


North Carolina State University - Department of Economics

2004

Journal of Financial Econometrics, Vol. 2, pp. 84-108, 2004

Abstract:     
Financial risk model evaluation or backtesting is a key part of the internal model`s approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample settings. Our contribution is the exploration of new tools for backtesting based on the duration of days between the violations of the Value-at-Risk. Our Monte Carlo results show that in realistic situations, the new duration-based tests have considerably better power properties than the previously suggested tests.

Keywords: GARCH, kurtosis, risk model evaluation

Accepted Paper Series





Not Available For Download

Date posted: February 29, 2008  

Suggested Citation

Christoffersen, Peter and Pelletier, Denis, Backtesting Value-at-Risk: A Duration-Based Approach ( 2004). Journal of Financial Econometrics, Vol. 2, Issue 1, pp. 84-108, 2004. Available at SSRN: http://ssrn.com/abstract=821715

Contact Information

Peter Christoffersen (Contact Author)
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6 M5P 3C4
Canada
416-946-5511 (Phone)
HOME PAGE: http://www.christoffersen.com
Copenhagen Business School
Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
University of Aarhus - CREATES
School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark
Denis Pelletier
North Carolina State University - Department of Economics ( email )
Raleigh, NC 27695-8110
United States
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