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Frontiers in VaR forecasting and backtesting

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URI: https://hdl.handle.net/10016/32962
ISSN: 0169-2070
DOI: https://doi.org/10.1016/j.ijforecast.2015.08.003
UXXI: AR/0000018642
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Frontiers_IJF_2016_ps.pdf (1.12 MB)
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2016-04
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Elsevier
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Abstract
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.
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Backtesting, Extreme value theory, Garch, Quantile, Risk
Bibliographic citation
Nieto, M. R. & Ruiz, E. (2016). Frontiers in VaR forecasting and backtesting. International Journal of Forecasting, 32(2), pp. 475–501.
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