Frontiers in VaR forecasting and backtesting

Maria Rosa Nieto and Esther Ruiz

International Journal of Forecasting, 2016, vol. 32, issue 2, 475-501

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.

Keywords: Backtesting; Extreme value theory; GARCH; Quantile; Risk (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501

DOI: 10.1016/j.ijforecast.2015.08.003

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