A review of backtesting for value at risk

DOI10.1080/03610926.2017.1361984zbMath1492.91439OpenAlexW2742375119MaRDI QIDQ5160284

Yuan-Yuan Zhang, Saralees Nadarajah

Publication date: 28 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/a-review-of-backtesting-for-value-at-risk(1fbc2e54-2b71-4d86-915c-eaffbb1bb592).html

zbMATH Keywords

likelihood ratiocoverageviolation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Truncated skewed type III generalized logistic distribution: risk measurement applications ⋮ Model selection based on value-at-risk backtesting approach for GARCH-type models

Uses Software

• R
• CAViaR
• QRM

Cites Work

• Unnamed Item
• A simple and focused backtest of value at risk
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Backtesting Value‐at‐Risk: A Generalized Markov Test
• Real Options Valuation

This page was built for publication: A review of backtesting for value at risk