Backtesting Value-at-Risk Models
IntroductionBacktesting PrinciplesTesting strategiesRecommandationsBacktesting Value-at-Risk ModelsChristophe HurlinUniversity of Orl ansS minaire Validation des Mod les Financiers. 29 Avril 2013Christophe HurlinBacktestingIntroductionBacktesting PrinciplesTesting strategiesRecommandationsIntroductionThe Value-at-Risk (VaR) and more generally the Distortion RiskMeasures (Expected Shortfall, etc.) are standard risk measuresused in the current regulations introduced in Finance (Basel 2), orInsurance (Solvency 2) to x the required capital (Pillar 1), or tomonitor the risk by means of internal risk Models (Pillar 2).Christophe HurlinBacktestingIntroductionBacktesting PrinciplesTesting strategiesRecommandationsIntroductionDe nitionLetfrtgTt=1be a given P&L series.
Introduction Backtesting Principles Testing strategies Recommandations Frequency-based tests Magnitude-based tests Multivariate tests Independence tests
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