Nieto Delfin, Maria RosaRuiz Ortega, Esther2021-06-302021-06-302016-04Nieto, M. R. & Ruiz, E. (2016). Frontiers in VaR forecasting and backtesting. International Journal of Forecasting, 32(2), pp. 475–501.0169-2070https://hdl.handle.net/10016/32962The 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.27eng© 2015 International Institute of Forecasters.Atribución-NoComercial-SinDerivadas 3.0 EspañaBacktestingExtreme value theoryGarchQuantileRiskresearch articleEstadísticahttps://doi.org/10.1016/j.ijforecast.2015.08.003open access4752501International Journal of Forecasting32AR/0000018642