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Christoffersen et al., 2004 - Google Patents

Backtesting value-at-risk: A duration-based approach

Christoffersen et al., 2004

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Document ID
13426242777260588908
Author
Christoffersen P
Pelletier D
Publication year
Publication venue
Journal of Financial Econometrics

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Snippet

Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample …
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