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A review of backtesting for value at risk

2017; Taylor & Francis; Volume: 47; Issue: 15 Linguagem: Inglês

10.1080/03610926.2017.1361984

1532-415X

Yuanyuan Zhang, Saralees Nadarajah,

Statistical Methods and Inference

There have been many backtesting methods proposed for value at risk. Yet they have rarely been applied in practice. Here, we provide a comprehensive review of all of the recent backtesting methods for VaR. This review could encourage applications and also the development of further backtesting methods.