A reveiw of backtesting and backtesting procedures
By: Sean D. Campbell.
Series: Finance and economics discussion series ;; 2005-21; Finance and economics discussion series (Online) ;; 2005-21.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures.  These backtesting procedures are reviewed from both a statistical and risk management perspective.  The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed.  Backtests are then classified by whether they examine the unconditional coverage property, independence property, or both properties of a VaR measure.  Backtests that examine the accuracy of a VaR model at several quantiles, rather than a single quantile, are also outlined and discussed.  The statistical power properties of these tests are examined in a simulation experiment.  Finally, backtests that are specified in terms of a pre-specified loss function are reviewed and their use in VaR validation is discussed"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 5/20/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.