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A review of backtesting and backtesting procedures

Author: Sean D Campbell
Publisher: Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, [2005]
Series: Finance and economics discussion series, 2005-21.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"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  Read more...
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Additional Physical Format: Print version:
Campbell, Sean D.
Review of backtesting and backtesting procedures.
Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, [2005]
(OCoLC)60461086
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Sean D Campbell
OCLC Number: 752382808
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011. MiAaHDL
Description: 1 online resource (23 pages).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Finance and economics discussion series, 2005-21.
Responsibility: Sean D. Campbell.

Abstract:

"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"--Federal Reserve Board web site.

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