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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

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Related research

Keywords: Value-at-Risk; Backtesting;

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  1. 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.

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