A simple and focused backtest of value at risk

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 137
Issue: C
Pages: 29-31

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We suggest a simple improvement of recent VaR-backtesting procedures based on time intervals between VaR-violations and show via Monte Carlo that our test has more power than its competitors against various empirically relevant clustering alternatives.

Technical Details

RePEc Handle
repec:eee:ecolet:v:137:y:2015:i:c:p:29-31
Journal Field
General
Author Count
2
Added to Database
2026-01-25