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| Modele stóp procentowych (Vasicek, CIR, Nelson-Siegel)× | Testowanie wsteczne wartości zagrożonej (VaR)× | |
|---|---|---|
| Dziedzina | Finanse | Finanse |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1977 | 1998 |
| Twórca≠ | Vasicek (1977); Nelson & Siegel (1987) | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| Typ≠ | Term-structure / short-rate model | Statistical hypothesis tests on VaR violation sequences |
| Źródło pierwotne≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| Inne nazwy≠ | term structure models, short-rate models, yield curve models, Vasicek model | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| Pokrewne≠ | 5 | 3 |
| Podsumowanie≠ | 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. |
| ScholarGateZbiór danych ↗ |
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