Backtesting Value-at-Risk Based on Tail Losses

By W. Wong. 2010

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Frontiers in VaR forecasting and backtesting (2016, methodology): “Wong (2010) criticizes the statistics proposed by Christoffersen (1998) because they are two-tailed and, consequently, they can reject a risk model for overconservative.”
A comprehensive review of Value at Risk methodologies (2014, methodology): “We can cite here the residual approach introduced by McNeil and Frey (2000), the censored Gaussian approach proposed by Berkowitz (2001), the functional delta approach of Kerkhof and Melenberg (2004), and the saddlepoint technique introduced by Wong (2008, 2010).”