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Evaluating VaR Forecasts under Stress – The German Experience

Author

Listed:
  • Jaschke, Stefan
  • Stahl, Gerhard
  • Stehle, Richard

Abstract

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.

Suggested Citation

  • Jaschke, Stefan & Stahl, Gerhard & Stehle, Richard, 2003. "Evaluating VaR Forecasts under Stress – The German Experience," CFS Working Paper Series 2003/32, Center for Financial Studies (CFS).
    • Handle: RePEc:zbw:cfswop:200332
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    File URL: https://www.econstor.eu/bitstream/10419/72644/1/03_32.pdf
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    Cited by:

    1. Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank.

    More about this item

    Keywords

    banking supervision; VaR; exploratory data analysis; backtesting;
    All these keywords.

    JEL classification:

    • K23 - Law and Economics - - Regulation and Business Law - - - Regulated Industries and Administrative Law
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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