Backtesting Parametric Value-at-Risk With Estimation Risk

By Juan-Carlos Escanciano, Jose Olmo. 2010

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ab42cb2284d365155bdc605fd6f3d5a44c95ebda

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Citations in the corpus

Forecast combinations for value at risk and expected shortfall (2020, methodology): “This paper proposes the use of Fissler and Ziegel’s (2016) joint VaR and ES loss functions for estimating combining weights for VaR and ES prediction.”
GARCH Models (2010, unknown): “The article by Escanciano and Olmo (2010) considers the impact of parameter estimation in risk measure assessment.”
A comprehensive review of Value at Risk methodologies (2014, background): “Escanciano and Olmo (2010) show that the use of standard unconditional and independence backtesting procedures can be misleading.”
A review of backtesting for value at risk (2018, methodology): “…et al., 2010), conditional duration test (Christoﬀersen and Pelletier, 2002), Kr¨amer and Wied (2015)’s test, Markov duration tests (Pajhede, 2015), Escanciano and Olmo (2010, 2011)’s tests, Wald statistic test (Engle and Managanelli, 2004), dynamic binary tests (Dumitrescu et al., 2012),…”
Specification Tests of Parametric Dynamic Conditional Quantiles (2010, unknown): “…) of the traditional unconditional backtest proposed by Kupiec (1995), which is extensively used in the risk management literature; see Berkowitz, Christo⁄ersen and Pelletier (2006) and Escanciano and Olmo (2010) for a review of this literature. where (cid:14) 0 is the delta-Dirac measure at zero.”
Frontiers in VaR forecasting and backtesting (2016, methodology): “On the other hand, when choosing H, Engle and Manganelli (2004), Escanciano and Olmo (2010) and Escanciano and Pei (2012) show that the backtesting procedures to work adequately when the ratio between H and T is small; Engle 3Note that this classification is not the usual one in the literature…”
Backtesting value-at-risk : a GMM duration-based test (2008, unknown): “As dened by Jorion (2007), backtesting is a formal statistical framework that consists in verifying if actual trading losses are in line with projected losses.”