A sequential method for the evaluation of the VaR model based on the run between exceedances |
| |
Authors: | Laureniu Mihailescu |
| |
Institution: | (1) Postgraduate Research Program Capital Markets and Finance in the Enlarged Europe, Europa-Universität Viadrina, 15230 Frankfurt (Oder) |
| |
Abstract: | Summary:
A technique for sequential assessment of the appropriateness of the VaR
model is developed, by drawing on a tool from statistical process control, namely the
control chart. We show that an EWMA control chart is the most appropriate instrument
for detecting changes in the process of the magnitude of interest in risk management. The
robustness of our procedure with respect to violations of some assumptions is examined
and it is concluded that our model evaluation technique remains suitable in such cases. |
| |
Keywords: | Value– at– risk backtesting sequential control |
本文献已被 SpringerLink 等数据库收录! |