Transcription of Backtesting Value-at-Risk Models
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Backtesting Value-at-Risk Models
IntroductionBacktesting PrinciplesTesting strategiesRecommandationsBacktesting Value-at-Risk ModelsChristophe HurlinUniversity of Orl ansS minaire Validation des Mod les Financiers. 29 Avril 2013 Christophe 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).
Introduction Backtesting Principles Testing strategies Recommandations Backtesting Value-at-Risk Models Christophe Hurlin University of OrlØans SØminaire Validation des ModŁles Financiers. 29 Avril 2013
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