IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Evaluating Value-at-Risk Models with Desk-Level Data

  • Jeremy Berkowitz


    (Department of Finance, University of Houston, Houston, Texas 77004)

  • Peter Christoffersen


    (McGill University, Montreal, Quebec H3A 2T5, Canada; and CREATES, School of Economics and Management, University of Aarhus, DK-8000 Aarhus C, Denmark)

  • Denis Pelletier


    (Department of Economics, College of Management, North Carolina State University, Raleigh, North Carolina 27695)

We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use a comprehensive Monte Carlo study to assess which of these many tests have the best finite-sample size and power properties. Our desk-level data set provides importance guidance for choosing realistic P/L-generating processes in the Monte Carlo comparison of the various tests. The conditional autoregressive value-at-risk test of Engle and Manganelli (2004) performs best overall, but duration-based tests also perform well in many cases. This paper was accepted by John Birge, focused issue editor.

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: no

Article provided by INFORMS in its journal Management Science.

Volume (Year): 57 (2011)
Issue (Month): 12 (December)
Pages: 2213-2227

in new window

Handle: RePEc:inm:ormnsc:v:57:y:2011:i:12:p:2213-2227
Contact details of provider: Postal: 7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA
Phone: +1-443-757-3500
Fax: 443-757-3515
Web page:

More information through EDIRC

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:inm:ormnsc:v:57:y:2011:i:12:p:2213-2227. 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: (Mirko Janc)

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.