विधियों की तुलना करें

	ब्याज दर मॉडल (वासिसेक, सीआईआर, नेल्सन-सीगल)	मूल्य-पर-जोखिम (VaR) पश्च-परीक्षण
क्षेत्र	वित्त	वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	1977	1998
प्रवर्तक	Vasicek (1977); Nelson & Siegel (1987)	Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test)
प्रकार	Term-structure / short-rate model	Statistical hypothesis tests on VaR violation sequences
मौलिक स्रोत	Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188.	Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84.
उपनाम	term structure models, short-rate models, yield curve models, Vasicek model	VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test
संबंधित	5	3
सारांश	Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987).	VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test.