Abstract
With the implementation of Value-at-Risk (VaR) models a new chapter of risk management was opened. Their ultimate goal is to quantify the uncertainty about the amount that may be lost or gained on a portfolio over a given period of time. Most generally, the uncertainty is expressed by a forecast distribution P t+1 for period t+1 associated with the random variable L t+1, denoting the portfolio’s profits and losses (P&L).
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Bibliography
Artzner, P., Dealban, F., Eber, F.-J. and Heath, D. (1997) Thinking Coherently, RISK MAGAZINE.
Baille, R. T. and T. Bollerslev (1992) Prediction in Dynamic Models with Time-Dependent Conditional Variances. Econometrica, 50: 91–114.
Crnkovic, C. and J. Drachman (1996) A Universal Tool to Discriminate Among Risk Measurement Techniques, RISK MAGAZINE.
Dawid, A. P. (1984) The prequential approach. J. R. Statist. Soc., A, 147: 278–292.
Härdie, W. and Klinke, S. and Müller, M. (1999) XloRe Learning Guide. http://www.xplore-stat.de, Springer Verlag, Heidelberg.
Jaschke, S. and Küchler, U. (1999) Coherent Risk Measures, Valuation Bounds, and (v, p)— Portfolio Optimazation. Discussion Paper, No 64, Sonderforschungsbereich 373 of the Humboldt Universiät zu Berlin
Leadbetter, M. R. (1995) On high level exceedance modeling and tail inference. Journal of Planning and Inference, 45: 247–260.
Matten, C. (1996) Managing Bank Capital. John Wiley & Sons: Chich-eseter.
McAllister, P. H. and J.J. Mingo (1996) Bank Capital requirements for securitzed loan portfolios. Journal of Banking and Finance, 20: 1381–1405.
Murphy, A. H. and R. L. Winkler (1987) A General Framework for Forecast Verification. Monthly Weather Review, 115: 1330–1338.
RiskMetrics (1996) Technical Dokument, 4th Ed.
CorporateMetrics (1999) Technical Dokument, 1st. Ed.
Sellier-Moiseiwitsch, F. (1993) Sequential Probability Forecasts and the Probability Integral Transform. Int. Stat. Rev., 61: 395–408.
Skouras, K. and A. P. Dawid (1996) On efficient Probability Forecasting Systems. Research Report No. 159, Dep. of Statistical Science, University College London.
Taylor, S. J. (1986) Modelling Financial Time Series. Wiley, Chichester.
Witting H. and U. Müller-Funk (1995) Mathematische Statistik II. Teubner, Stuttgart.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2000 Springer Science+Business Media New York
About this chapter
Cite this chapter
Härdle, W., Stahl, G. (2000). Backtesting beyond VaR. In: Franke, J., Stahl, G., Härdle, W. (eds) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics, vol 147. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1214-0_7
Download citation
DOI: https://doi.org/10.1007/978-1-4612-1214-0_7
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-98996-9
Online ISBN: 978-1-4612-1214-0
eBook Packages: Springer Book Archive