I am interested in hearing about the practitioner state of the art for testing the time independence of a VaR model (i.e. that VaR violations are independent in time). There are a number of tests in the literature. What do people actually use? Which are viewed as the most powerful and useful in the real world? I'm interested in hearing about what kinds of specific quantitative criteria people might use to cause them to re-evaluate their VaR model's current ability to handle violation clustering.
The Kupiec test is frequently used to back test VaR values. I would refer you to read this article from the federal reserve