How can you compare stressed VaR estimates?
What are statistical tests for assessing the quality of stressed VaR estimates?
I think the VaR Coverage test for example by Christoffersen (1988) would still be aplicable.
I will build different models for calculating stressed VaR for a portfolio long in the MSCI. I am unsure how I can compare the estimates from different models.
Additional Question Say, I am comparing two sVar estimates X,Y. Both yield less than by VaR expected exceedences. X is more conservative than Y. They both perform equally well on test such as Unconditional Coverage and Independence. Which is better?
I thought about backtesting it on a historical stressfull period such as the financial crisis and than look for a model which predicted exceedences are as close as possible to real exceedences. Does this make sense?