Goodness-of-fit Tests Focus on Value-at-Risk Estimation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Fajardo, José & Farias, Aquiles, 2004.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Kerkhof, Jeroen & Melenberg, Bertrand, 2004.
"Backtesting for risk-based regulatory capital,"
Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
- Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Discussion Paper 2002-110, Tilburg University, Center for Economic Research.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008. "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 139-155.
- Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
- Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003.
"Inflation targeting in Brazil: constructing credibility under exchange rate volatility,"
Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
- André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] b26, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- MINELLA André & DE FREITAS Paulo Springer & GOLDFAJN Ilan & KFOURY MUINHOS Marcelo, 2010. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," EcoMod2003 330700103, EcoMod.
- André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," Working Papers Series 77, Central Bank of Brazil, Research Department.
- Leonardo Soriano de Alencar & Márcio I. Nakane, 2004. "Bank Competition, Agency Costs and the Performance of the Monetary Policy," Working Papers Series 81, Central Bank of Brazil, Research Department.
- Lai, Yongzeng, 2009. "Generating inverse Gaussian random variates by approximation," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3553-3559, August.
- Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1404-1415, July.
- Kerkhof, F.L.J., 2003. "Model risk analysis for risk management and option pricing," Other publications TiSEM 01692df5-4c2d-4ed2-8108-4, Tilburg University, School of Economics and Management.
- Richard Gerlach & Declan Walpole & Chao Wang, 2017. "Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 199-215, February.
- Fajardo, Jose Santiago, 2006.
"Equivalent Martingale Measures and Lévy Processes,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(4), February.
- Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers flwp_61, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Correa, Arnildo da Silva & Minella, André, 2010.
"Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
- Arnildo da Silva Correa & André Minella, 2006. "Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil," Working Papers Series 122, Central Bank of Brazil, Research Department.
- Ricardo Schechtman, 2017.
"Joint Validation of Credit Rating PDs under Default Correlation,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 235-282, June.
- Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
- Benjamin M. Tabak, 2006.
"The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.
- Benjamin M. Tabak, 2006. "The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil," Working Papers Series 124, Central Bank of Brazil, Research Department.
- Gordy, Michael B. & McNeil, Alexander J., 2020.
"Spectral backtests of forecast distributions with application to risk management,"
Journal of Banking & Finance, Elsevier, vol. 116(C).
- Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.
- Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
- Benjamin Miranda Tabak, 2003. "Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates," Working Papers Series 70, Central Bank of Brazil, Research Department.
- Chen, Qian & Gerlach, Richard H., 2013. "The two-sided Weibull distribution and forecasting financial tail risk," International Journal of Forecasting, Elsevier, vol. 29(4), pages 527-540.
- Sander Barendse & Erik Kole & Dick van Dijk, 2023.
"Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
- Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
- Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org, revised Sep 2019.
- Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
- José Fajardo, 2017.
"A new factor to explain implied volatility smirk,"
Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
- fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
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:sbe:breart:v:26:y:2006:i:2:a:1581. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/sbeeeea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.