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Value at Risk and Backtesting

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Statistics of Financial Markets

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Abstract

Value-at-Risk (VaR) is probably the most commonly known measure for quantifying and controlling the risk of a portfolio. Establishing VaR is of central importance to a credit institute. The description of risk is attained with the help of an “internal model”, whose job is to reflect the market risk of portfolios and similar uncertain investments over time. The objective parameter in the model is the probability forecast of portfolio changes over a given period.

Valor en riesgo y testeo retroactivo

El que busca la verdad corre el riesgo de encontrarla

Anyone who seeks the truth, risks to find it.

Manuel Vicent

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Authors and Affiliations

  1. Humboldt-Universität zu Berlin Ladislaus von Bortkiewicz Chair of Statistics, C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics, Berlin, Germany

    Szymon Borak, Wolfgang Karl Härdle & Brenda López-Cabrera

Authors
  1. Szymon Borak
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  2. Wolfgang Karl Härdle
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  3. Brenda López-Cabrera
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Borak, S., Härdle, W.K., López-Cabrera, B. (2013). Value at Risk and Backtesting. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33929-5_14

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