Name: Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures (en Inglés)
Price: 114.50 PEN
Availability: InStock
Author: Campbell, Sean D. ; United States Federal Reserve Board
ISBN: 9781288711604

portada Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Sean D. Campbell

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.2 cm

Peso

0.07 kg.

ISBN13

9781288711604

Categorías

Política y gobierno

Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures (en Inglés)

United States Federal Reserve Board (Autor) · Sean D. Campbell (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures (en Inglés)"

This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed. Backtests are then classified by whether they examine the unconditional coverage property, independence property, or both properties of a VaR measure. Backtests that examine the accuracy of a VaR model at several quantiles, rather than a single quantile, are also outlined and discussed. The statistical power properties of these tests are examined in a simulation experiment. Finally, backtests that are specified in terms of a pre-specified loss function are reviewed and their use in VaR validation is discussed.