Value-at-risk backtesting: Beyond the empirical failure rate

作者：

Highlights：

• We introduce an analytical framework for an assessment of Value-at-Risk backtesting.

• We develop a simulation study to assess the accuracy of competing tests.

• Different sample sizes are assessed.

• Our study provides evidence, that the F-Test describes a solid choice.

摘要

•We introduce an analytical framework for an assessment of Value-at-Risk backtesting.•We develop a simulation study to assess the accuracy of competing tests.•Different sample sizes are assessed.•Our study provides evidence, that the F-Test describes a solid choice.

论文关键词：Value-at-risk backtesting,Independence tests,Simulation study

论文评审过程：Received 4 June 2020, Revised 10 February 2021, Accepted 7 March 2021, Available online 17 March 2021, Version of Record 12 April 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.114893