Value-at-risk forecasts under scrutiny - the German experience

Abstract: We present an analysis of the VaR forecasts and the P&L-series of all 12 German banks that used internal models for regulatory purposes throughout the period from the beginning of 2001 to the end of 2004. One task of a supervisor is to estimate the 'recalibration factor', i.e., by how much a bank over- or underestimates its VaR. The Basel traffic light approach to backtesting, which maps the count of exceptions in the trailing year to a multiplicative penalty factor, can be viewed as a way to estimate the 'recalibration factor'. We introduce techniques that provide a much more powerful inference on the recalibration factor than the Basel approach based on the count of exceptions. The notions 'return on VaR (RoVaR)' and 'well-behaved forecast system' are keys to linking the problem at hand to the established literature on the evaluation of density forecasts. We perform extensive bootstrapping analyses allowing (1) an assessment of the accuracy of our estimates of the recalibration f

Angaben zum Objekt

• Standort: Deutsche Nationalbibliothek Frankfurt am Main
• Umfang: Online-Ressource
• Sprache: Englisch
• Anmerkungen: Postprint ; begutachtet (peer reviewed) ; In: Quantitative Finance ; 7 (2007) 6 ; 621-636

Klassifikation und Themen

• Klassifikation: Wirtschaft

Beteiligte, Orts- und Zeitangaben

• Ereignis: Veröffentlichung
• (wo): Mannheim
• (wann): 2007
• Urheber: Jaschke, Stefan ; Stahl, Gerhard ; Stehle, Richard

Weitere Informationen

• DOI: 10.1080/14697680600999104
• URN: urn:nbn:de:0168-ssoar-220908
• Rechteinformation: Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Letzte Aktualisierung: 25.03.2025, 13:52 MEZ