Gaglianone, Wagner PiazzaLima, Luiz RenatoLinton, OliverSmith, DanielUniversidad Carlos III de Madrid. Departamento de Economía2009-07-282009-07-282009-052340-5031https://hdl.handle.net/10016/4883This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such as Christoffersen (1998) and Engle and Maganelli (2004) are based on such variables. In this paper we propose a new backtest that does not rely solely on binary variables. It is shown that the new backtest provides a sufficient condition to assess the finite sample performance of a quantile model whereas the existing ones do not. The proposed methodology allows us to identify periods of an increased risk exposure based on a quantile regression model (Koenker & Xiao, 2002). Our theoretical findings are corroborated through a Monte Carlo simulation and an empirical exercise with daily S&P500 time series.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaValue-at-RiskBacktestingQuantile Regressionworking paperC12C14C52G11Economíaopen accesswe094625