IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Un test de validité de la Value at Risk

Listed author(s):
  • Christophe Hurlin
  • Sessi Tokpavi

This paper proposes a new simple test of market risk models validation or Value at Risk (VaR) accuracy. The test exploits the idea that the sequence of VaR violations verifies the properties of a white noise. More precisely, we use the Multivariate Portmanteau statistic of Hosking [1980] to jointly test the absence of autocorrelation in the vector of violation sequences for various coverage rates considered as relevant for the management of risks. We show that this multivariate dimension appreciably improves the power properties of the VaR validation test for reasonable sample sizes. Classification JEL : C23, C11

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: free

File URL:
Download Restriction: free

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 58 (2007)
Issue (Month): 3 ()
Pages: 599-608

in new window

Handle: RePEc:cai:recosp:reco_583_0599
Contact details of provider: Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cai:recosp:reco_583_0599. 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)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.