Economics, Econometrics and Finance
4 years ago

New method boosts market risk management power in small sample settings.

Journal of Financial Econometrics
Backtesting Value-at-Risk: A Duration-Based Approach
Peter Christoffersen

Paper Summary

The article explores new methods for testing financial risk models, focusing on the time between Value-at-Risk violations. By using a duration-based approach, the researchers found that these new tests are more effective in small sample settings compared to existing methods.

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