Evaluating VaR Forecasts under Stress The German Experience
AbstractWe present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules. --
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Bibliographic InfoPaper provided by Center for Financial Studies (CFS) in its series CFS Working Paper Series with number 2003/32.
Date of creation: 2003
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banking supervision; VaR; exploratory data analysis; backtesting;
Find related papers by JEL classification:
- K23 - Law and Economics - - Regulation and Business Law - - - Regulated Industries and Administrative Law
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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- Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank, Research Centre.
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