Backtesting beyond VaR

Arbeitspapier

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows that backtesting based on shortfall is very sensitive with respect to the underlying assumptions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1999,105

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Härdle, Wolfgang ; Stahl, Gerhard
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 1999

Further information

• Handle: http://hdl.handle.net/10419/61727
• URN: urn:nbn:de:kobv:11-10046910
• Last update: 10.03.2025, 11:41 AM CET