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Wyświetlanie 1-4 z 4
Tytuł:
Duration-Based Approach to VaR Independence Backtesting
Autorzy:
Małecka, Marta
Powiązania:
https://bibliotekanauki.pl/articles/465936.pdf
Data publikacji:
2014
Wydawca:
Główny Urząd Statystyczny
Tematy:
VaR backtesting
Markov test, Haas test
TUFF test
Weibull test
gamma test
EACD test
Opis:
Dynamic development in the area of value-at-risk (VaR) estimation and growing implementation of VaR-based risk valuation models in investment companies stimulate the need for statistical methods of VaR models evaluation. Following recent changes in Basel Accords, current UE banking supervisory regulations require internal VaR model backtesting, which provides another strong incentive for research on relevant statistical tests. Previous studies have shown that commonly used VaR independence Markov-chain-based testing procedure exhibits low power, which constitutes a particularly serious problem in the case of finite-sample settings. In the paper, as an alternative to the popular Markov test an overview of the group of duration-based VaR backtesting procedures is presented along with exploration of their statistical properties while rejecting a non-realistic assumption of infinite sample size. The Monte Carlo test technique was adopted to provide exact tests, in which asymptotic distributions were replaced with simulated finite sample distributions. A Monte Carlo study, based on the GARCH model, was designed to investigate the size and the power of the tests. Through the comparative analysis we found that, in the light of observed statistical properties, the duration-based approach was superior to the Markov test.
Źródło:
Statistics in Transition new series; 2014, 15, 4; 627-636
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model
Autorzy:
Małecka, Marta
Powiązania:
https://bibliotekanauki.pl/articles/1363619.pdf
Data publikacji:
2021-03-03
Wydawca:
Główny Urząd Statystyczny
Tematy:
VaR backtesting
exponential autoregressive conditional duration
boundary of the parameter space
test size
test power
Opis:
Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the exponential autoregressive conditional duration (EACD) VaR test. We show that, under the null, the tested parameter lies at the boundary of the parameter space, which can profoundly affect the accuracy of this test. To compensate for this deficiency, a mixture of chi-square distributions is applied. The resulting accuracy improvement allows for the omission of the Monte Carlo simulations used to implement the EACD VaR test in earlier studies, which dramatically improves the computational efficiency of the procedure. We demonstrate that the EACD approach to testing VaR has the potential to enhance statistical inference in most problematic cases - for small samples and for those close to the null.
Źródło:
Statistics in Transition new series; 2021, 22, 1; 145-162
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Assessment of the size of VaR backtests for small samples
Autorzy:
Kaszyński, Daniel
Kamiński, Bogumił
Pankratz, Bartosz
Powiązania:
https://bibliotekanauki.pl/articles/1043916.pdf
Data publikacji:
2020-12-30
Wydawca:
Główny Urząd Statystyczny
Tematy:
Value at Risk
market risk management
backtesting
empirical size assessment
Opis:
The market risk management process includes the quantification of the risk connected with defined portfolios of assets and the diagnostics of the risk model. Value at Risk (VaR) is one of the most common market risk measures. Since the distributions of the daily P&L of financial instruments are unobservable, literature presents a broad range of backtests for VaR diagnostics. In this paper, we propose a new methodological approach to the assessment of the size of VaR backtests, and use it to evaluate the size of the most distinctive and popular backtests. The focus of the paper is directed towards the evaluation of the size of the backtests for small-sample cases - a typical situation faced during VaR backtesting in banking practice. The results indicate significant differences between tests in terms of the p-value distribution. In particular, frequency-based tests exhibit significantly greater discretisation effects than duration-based tests. This difference is especially apparent in the case of small samples. Our findings prove that from among the considered tests, the Kupiec TUFF and the Haas Discrete Weibull have the best properties. On the other hand, backtests which are very popular in banking practice, that is the Kupiec POF and Christoffersen's Conditional Coverage, show significant discretisation, hence deviations from the theoretical size.
Źródło:
Przegląd Statystyczny; 2020, 67, 2; 114-151
0033-2372
Pojawia się w:
Przegląd Statystyczny
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Weryfikacja historyczna modeli wartości zagrożonej – zastosowanie wybranych metod dla rynku polskiego w okresie kryzysu finansowego
Backtesting of value at risk measures − analysis of selected methods based on the example of Polish market during financial crisis
Autorzy:
Lusztyn, Marek
Powiązania:
https://bibliotekanauki.pl/articles/425137.pdf
Data publikacji:
2013
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
Value at Risk
VaR
backtesting
Opis:
Several banks use internal Value at Risk models to measure market risk and to calculate regulatory capital necessary to cover that risk. Backtesting is a statistical tool that allows differentiating precise and imprecise risk models. The objective of this paper is to backtest selected Value at Risk models in a period preceding and during the financial crisis, based on the example of Polish currency, equity and bond markets. The obtained results do not justify unequivocal statistical acceptance of any of the analyzed models. This in turn suggest extreme caution in using Value at Risk as the only quantitative risk management tool. Stable and cautious risk management of a financial institution calls for supplementing Value at Risk with alternative risk measures.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 4(42); 117-129
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
    Wyświetlanie 1-4 z 4

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