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Une Evaluation des Procédures de Backtesting

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  • Christophe Hurlin

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Sessi Tokpavi

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

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, 2007. "Une Evaluation des Procédures de Backtesting," Working Papers halshs-00159846, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00159846
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00159846
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    Cited by:

    1. Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," LIDAM Discussion Papers CORE 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
    4. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
    5. Jean-François Carpantier & Arnaud Dufays, 2012. "Commodities volatility and the theory of storage," Working Papers hal-01821149, HAL.
    6. repec:dau:papers:123456789/15232 is not listed on IDEAS

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