IDEAS home Printed from https://ideas.repec.org/a/cai/finpug/fina_291_0053.html
   My bibliography  Save this article

Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes »

Author

Listed:
  • Christophe Hurlin
  • Sessi Tokpavi

Abstract

This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) forecasts. It is well known that VaR backtesting procedures outlined by the Basel Committee for Banking Supervision have limited power to control the probability of accepting an incorrect VaR forecast. In this study, we propose an original approach based on the replication of these tests on six different VaR forecasts (parametric or non parametric) for a given asset. We show that backtests generally lead to not reject the accuracy of all (or most of) these different forecasts. In other words, most of VaR forecasts are likely to be considered as valid.

Suggested Citation

  • Christophe Hurlin & Sessi Tokpavi, 2008. "Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes »," Finance, Presses universitaires de Grenoble, vol. 29(1), pages 53-80.
  • Handle: RePEc:cai:finpug:fina_291_0053
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_291_0053
    Download Restriction: free

    File URL: http://www.cairn.info/revue-finance-2008-1-page-53.htm
    Download Restriction: free

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:dau:papers:123456789/15232 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:finpug:fina_291_0053. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire). General contact details of provider: http://www.cairn.info/revue-finance.htm .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.