Wied, Dominik, Weiss, Gregor N. F. and Ziggel, Daniel (2016). Evaluating Value-at-Risk forecasts: A new set of multivariate backtests. J. Bank Financ., 72. S. 121 - 133. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372

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Abstract

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect non-constant expectations in the matrix of VaR-violations. Second, we propose chi(2)-tests for detecting cross-sectional and serial dependence in the VaR-forecasts. Moreover, we combine our new backtests with a test of unconditional coverage to yield two new back tests of multivariate conditional coverage. Results from a simulation study underline the usefulness of our new backtests for controlling portfolio risks across a bank's business lines. In an empirical study, we show how our multivariate backtests can be employed by regulators to backtest a banking system. (C) 2016 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Wied, DominikUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Weiss, Gregor N. F.UNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Ziggel, DanielUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-256769
DOI: 10.1016/j.jbankfin.2016.07.014
Journal or Publication Title: J. Bank Financ.
Volume: 72
Page Range: S. 121 - 133
Date: 2016
Publisher: ELSEVIER SCIENCE BV
Place of Publication: AMSTERDAM
ISSN: 1872-6372
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
BOOTSTRAPMultiple languages
Business, Finance; EconomicsMultiple languages
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/25676

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