منابع مشابه
The Geometric-VaR Backtesting Method
This paper develops a new test to evaluate Value at Risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a challenging problem, and popular VaR forecast relies on unrealistic assumptions. Hence, assessing the performance of VaR is of great importance. We propose the geometric-VaR test which utilizes the duration bet...
متن کاملA Review of Nonfundamentalness and Identification in Structural VAR models
We review, under a historical perspective, the developement of the problem of nonfundamentalness of Moving Average (MA) representations of economic models, starting from the work by Hansen and Sargent [1980]. Nonfundamentalness typically arises when agents’ information space is larger than the econometrican’s one. Therefore it is impossible for the latter to use standard econometric techniques,...
متن کاملMultinomial var backtests: A simple implicit approach to backtesting expected shortfall
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall or the trading book model from which it is calculated can be based on a simultaneous multinomial test of value-at-risk (VaR) exce...
متن کاملThe Analysis of Power For Some Chosen VaR Backtesting Procedures: Simulation Approach
Everyone who measures the market risk using the Value at Risk (VaR) approach should test if the assumed model is correct. This procedure is called backtesting. There are many different tests available, but usually risk managers are not concerned about their power. The aim of this paper is to analyze some chosen backtesting methods focusing on the problem of power of the tests and limited data s...
متن کاملP 145: A Review of Animal Models of Absence Epilepsy
The most common type of childhood-onset epilepsy syndrome is childhood absence epilepsy (CAE) with well-defined electro clinical features but unknown pathological basis. The incidence of absence epilepsy is about 2 and 8 out of every 100 000 children up to the age of 16, and the prevalence is 2 and 10% of children with any form of epilepsy. Children with CAE suffer from high rate of pretreatmen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal for Research in Applied Science and Engineering Technology
سال: 2020
ISSN: 2321-9653
DOI: 10.22214/ijraset.2020.4016