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Une Evaluation des Procédures de Backtesting

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Author Info

  • Christophe Hurlin

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Sessi Tokpavi

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

Abstract

Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à discriminer différentes prévisions de Value at Risk (VaR) ne fournissant pas la même évaluation ex-ante du risque. Nos résultats montrent que, pour un même actif, ces tests conduisent très souvent à ne pas rejeter la validité, au sens de la couverture conditionnelle, de la plupart des six prévisions de VaR étudiées, même si ces dernières sont sensiblement différentes. Autrement dit, toute prévision de VaR a de fortes chances d'être validée par ce type de procédure.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/15/98/46/PDF/Compare_VaR_ver8.pdf
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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00159846.

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Date of creation: 04 Jul 2007
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Handle: RePEc:hal:wpaper:halshs-00159846

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00159846/en/
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Related research

Keywords: Value-at-Risk; Backtesting;

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Cited by:
  1. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," CORE Discussion Papers 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
  3. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," CORE Discussion Papers 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.

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