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Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures
United States Federal Reserve Board
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Sean D. Campbell
(Author)
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Bibliogov
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Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures - Campbell, Sean D. ; United States Federal Reserve Board
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Synopsis "Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures"
This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed. Backtests are then classified by whether they examine the unconditional coverage property, independence property, or both properties of a VaR measure. Backtests that examine the accuracy of a VaR model at several quantiles, rather than a single quantile, are also outlined and discussed. The statistical power properties of these tests are examined in a simulation experiment. Finally, backtests that are specified in terms of a pre-specified loss function are reviewed and their use in VaR validation is discussed.
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