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If I'm correct Backtesting VaR usually boils down to two conditions: The unconditional coverage hypothesis : the probability of an ex-post violation must be equal to the coverage rate. (ie : if 0.01 confidence level, you should get 1% violation). You can test it with the Kupiec Test . The independence hypothesis, your VaR violations should be independent. ...


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You can check the Euler-based risk attribution/ risk allocation, for example here: http://arxiv.org/pdf/0708.2542.pdf



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