文章基本信息

标题：Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies
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作者：Alan Cosme Rodrigues da Silva ; Claudio Henrique da Silveira Barbedo ; Gustavo Silva Araújo 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2006
卷号：4
期号：1
页码：97-118
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simulated and real data. The results indicate that tests based on failures proportion are not adequate for small samples even fro 1,000 observations. The Basel criterion is conservative and has low power, which does not invalidate its application, as the criterion is only one of the procedures adopted in internal model validation process. Thus, it is suggested using tests that capture the shape of returns distribution, as the Kuiper test, in addition to the Basel criterion.
其他摘要：The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simulated and real data. The results indicate that tests based on failures proportion are not adequate for small samples even fro 1,000 observations. The Basel criterion is conservative and has low power, which does not invalidate its application, as the criterion is only one of the procedures adopted in internal model validation process. Thus, it is suggested using tests that capture the shape of returns distribution, as the Kuiper test, in addition to the Basel criterion.
关键词：Backtest;VaR tests;simulation;market risk;backtest;valor em risco;Basiléia;VaR;simulação;risco de mercado
其他关键词：Business;Backtest; VaR tests; simulation; market risk;E37; G21; D81