A New Approach to Comparing VaR Estimation Methods

Abstract : We develop a novel backtesting framework based on multidimensional Value-at-Risk (VaR) that focuses on the left tail of the distribution of the bank trading revenues. Our coverage test is a multivariate generalization of the unconditional test of Kupiec (Journal of Derivatives, 1995). Applying our method to actual daily bank trading revenues, we find that non-parametric VaR methods, such as GARCH-based methods or filtered Historical Simulation, work best for bank trading revenues.
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Journal of Derivatives, Institutional Investor Inc., 2008, 16 (2), pp.54-66. 〈10.3905/JOD.2008.16.2.054〉
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Contributeur : Amaury Bouvet <>
Soumis le : lundi 26 août 2013 - 11:37:42
Dernière modification le : mardi 16 janvier 2018 - 17:56:01

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Christophe Pérignon, R.D. Smith. A New Approach to Comparing VaR Estimation Methods. Journal of Derivatives, Institutional Investor Inc., 2008, 16 (2), pp.54-66. 〈10.3905/JOD.2008.16.2.054〉. 〈hal-00854087〉

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