Backtesting for Risk-Based Regulatory Capital

By Jeroen Kerkhof, Bertrand Melenberg. 2004

145 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b719e0361dcb36e48832fa61f25f391d7ffd1f48

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Pilar Abad
2. Carmen López
3. Sonia Benito
4. Richard Gerlach
5. Qi'an Chen
6. Y. Lok
7. Marie Kratz
8. Hans Schumacher

In Management Science and Operations Research

1. Richard Gerlach
2. Qi'an Chen
3. Pilar Abad
4. Carmen López
5. Sonia Benito
6. Y. Lok
7. Hans Schumacher
8. Alexander J. McNeil

Citations in the corpus

• Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall (2016, methodology): “A backtesting procedure for expected shortfall based on realized p-values may be found in Kerkhof & Melenberg (2004).”
• Model risk and capital reserves (2010, methodology): “in Kerkhof and Melenberg (2004) who motivate that, for an appropriate comparison”
• A comprehensive review of Value at Risk methodologies (2014, methodology): “(2010) extend the CAViaR model to include the Threshold GARCH (TGARCH) model (an extension of the double threshold ARCH (DTARCH) of Li and Li (1996)) and a mixture (an extension of Wong and Li (2001)’s mixture ARCH).”
• The Two-sided Weibull Distribution and Forecasting Financial Tail Risk (2013, methodology): “Kerkhof and Melenberg (2004) made the excellent suggestion to compare ESmodels in the same manner as VaR models: on an equal quantile level.”