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VaR Backtesting/Ushahidi
Rekodi ya ushahidi wa mbinu

VaR Backtesting

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.

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Rekodi ya chanzo

Nukuu zimehamishwa kwa uhalisi kutoka kwa rekodi ya chanzo cha mbinu. Hakuna uthibitisho wa kiwango cha dai unaodokezwa kutoka kwao.

Value-at-Risk Backtesting (Kupiec, Christoffersen, Dynamic Quantile)
Rekodi ya mbinu ya kiajenda · regression-model / finance
  • Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. · DOI 10.3905/jod.1995.407942
  • Christoffersen, P. F. (1998). Evaluating Interval Forecasts. International Economic Review, 39(4), 841-862. · DOI 10.2307/2527341
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Same method familyGARCH Modelmachine-suggested · Relational suggestion, not evidence.Same method familyHAR-RV Modelmachine-suggested · Relational suggestion, not evidence.Same method familyOLS Regressionmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

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