Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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    Phoniex University
    Oct-2001 - Nov-2016

Category > Accounting Posted 15 Aug 2017 My Price 5.00

back-test a VaR model

9.14             Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions. Should we reject the model at the 5% confidence level? Use Kupiec’s two-tailed test.

1 See P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath, “Coherent Measures of Risk,” Mathematical Finance 9 (1999): 203–228.

2  Quantiles are also referred to as percentiles or fractiles.

3 An exception could be a risk measure that incorporates liquidity. As a portfolio becomes larger, its liquidity declines.

4 See P. Kupiec, “Techniques for Verifying the Accuracy of Risk Management Models,” Journal of Derivatives 3 (1995): 73–84.

5  See P. F. Christoffersen, “Evaluating Interval Forecasts,” International Economic Review 39

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Maurice Tutor
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Status NEW Posted 15 Aug 2017 09:08 AM My Price 5.00

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