The DOI matches its Crossref record; 19 of the 19 references it cites were found in a registry or an index.
Evaluating Value-at-Risk Models with Desk-Level Data
Open accessAbstract
We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use a comprehensive Monte Carlo study to assess which of these many tests have the best finite-sample size and power properties. Our desk-level data set provides importance guidance for choosing realistic P/L-generating processes in the Monte Carlo comparison of the various tests. The conditional autoregressive value-at-risk test of Engle and Manganelli (2004) performs best overall, but duration-based tests also perform well in many cases. This paper was accepted by John Birge, focused issue editor.
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Self-citationTechniques for Verifying the Accuracy of Risk Measurement Models
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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
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Cointegration and Tests of Present Value Models
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Electricity price forecasting: A review of the state-of-the-art with a look into the future
Weron, R. (2014) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2014.08.008 · Cited by 1,646
TENET: Tail-Event driven NETwork risk
Härdle, W. K., Wang, W., & Yu, L. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2016.02.013 · Cited by 470
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
Allen, L., Bali, T. G., & Tang, Y. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhs094 · Cited by 438
Metadata
- Authors
- Berkowitz, J., Christoffersen, P., & Pelletier, D.
- Venue
- Management Science
- Published
- 2011-12
- Volume
- 57
- Issue
- 12
- Pages
- 2213-2227
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W1521732602
- Cited by
- 362
- References
- 19
- FWCI
- 40.90
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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