Regression model
VaR回测
VaR回测是一系列统计检验，通过将其预测的在险价值（VaR）与实际损失进行比较来验证风险模型。它建立在Kupiec（1995）的无条件覆盖检验、Christoffersen（1998）的条件覆盖检验以及Engle-Manganelli动态分位数（DQ）检验的基础上。
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来源
- 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 ↗
如何引用本页
ScholarGate. (2026, June 1). Value-at-Risk Backtesting (Kupiec, Christoffersen, Dynamic Quantile). ScholarGate. https://scholargate.app/zh/finance/backtesting-var
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