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Frontiers in VaR forecasting and backtesting

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  • Nieto, Maria Rosa
  • Ruiz, Esther

Abstract

The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.

Suggested Citation

  • Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  • Handle: RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501
    DOI: 10.1016/j.ijforecast.2015.08.003
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