Loading...

Two Methods of Backtesting for Evaluating Value-at-Risk Models

Nasiri, Mojgan | 2013

329 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 45863 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva
  7. Abstract:
  8. This thesis proposes two methods for backtesting VaR models. The first is the combination of saddlepoint technique with Berkowitz backtesting and the second is based on maximum loss which uses Fischer-Tippet theorem to backtest VaR models. Monte Carlo simulation studies show that the power of these new backtests, especially the latter which is easy to use, is not less than complex Backtests that are well-known for their accuracy
  9. Keywords:
  10. Backtesting ; Value at Risk ; Saddle Point Approximation ; Maximum Loss ; Berkowitz Backtesting

 Digital Object List

 Bookmark

No TOC