Financial Management White Papers
A Review of Backtesting and Backtesting Procedures
Overview 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.
| Publisher | Federal Reserve Board | File Format | |
|---|---|---|---|
| Date Published | April 2005 | Downloads | 23 |
| Format | White Papers | ||
| Topics | |||
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