Corpus ID: 55353055

Value at risk (VaR) backtesting 'Evidence from a South African market portfolio'

@inproceedings{Katsenga2013ValueAR,
  title={Value at risk (VaR) backtesting 'Evidence from a South African market portfolio'},
  author={Gerald Z. Katsenga},
  year={2013}
}
Value at Risk (VaR) has emerged as one of the most prominent risk measurement techniques in finance. It is a measure that quantifies the worst expected loss over a given confidence level and target horizon, under normal market conditions. In this thesis, the concept of VaR as an invaluable tool for financial risk management is explained, and a theoretical but detailed description of some of the methods of VaR computation are presented, with a key emphasis on the assumptions and shortcomings of… Expand
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References

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Value-at-Risk has become one of the most popular risk measurement techniques in finance. However, VaR models are useful only if they predict future risks accurately. In order to evaluate the qualityExpand
Backtesting Value-at-Risk: A Duration-Based Approach
Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Commitee on Banking Supervision (1996). However,Expand
Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual Non-Linear Portfolios: Empirical Evidence
TLDR
The main conclusion is that, when estimating VaR for non-linear actual portfolios, in a context of supervision of bank solvency, the precision of the Monte Carlo simulation method is to be preferred to the speed that can be obtained with the variance-covariance matrix analytic method. Expand
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Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in theExpand
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Beginning in 1998, U.S. commercial banks with significant trading activities must hold capital against their defined market risk exposure. Under the current regulatory guidelines, this capital chargeExpand
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Given the growing need for managing financial risk, risk prediction plays an increasing role in banking and finance. In this study we compare the out-of-sample performance of existing methods andExpand
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We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions-unfiltered versus filtered VaR models, parametric versus nonparametric distributions,Expand
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TLDR
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In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level ofExpand
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Recent research has shown that different methods of computing Value at Risk (VAR) generate widely varying results, suggesting the choice of VAR method is very important. This article examines six VARExpand
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