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Backtesting Value-at-Risk: A Generalized Markov Framework. (2015). Pajhede, Thor .
In: Discussion Papers.
RePEc:kud:kuiedp:1518.

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  1. Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis. (2023). Masrur, S M.
    In: Papers.
    RePEc:arx:papers:2309.09094.

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  2. Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method. (2020). Bizergianidou, V A ; Kyrgos, Th S ; Schinas, C J ; Th, D ; Karkanis, I P.
    In: Computational Economics.
    RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09956-1.

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References

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  1. ⊥Σ−1/2 U. C The Monte Carlo Testing Technique Dufour (2006) In this section we outline the Monte Carlo testing technique of Dufour (2006) used in the empirical power simulations of section C. The technique used is given by the following algorithm: I. Generate M i.i.d. hit-sequences of length T, {It} T t=1, under the null of conditional coverage, HCC, by drawing from a Bernoulli sequence, as: It ∼ i.i.d Bernoulli(p), t = 1, ..., T II. Calculate the test statistic, Si, for each of the generated hit-sequence, i = 1, ..., M and denote by S0 the original test value. Throughout this paper we use M = 99, 999. III. Draw Ui for i = 0, ..., M from the uniform U(0, 1) distribution. Calculate the p-values as ˆ pM (S0) = M ˆ GM (S0) + 1 M + 1 where ˆ GM (S0) = 1 − M M X i=1 1 (Si ≤ S0) + M M X i=1 1 (Si = S0) 1 (Ui ≥ U0) .
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  2. Berkowitz, J., P. Christoffersen, and D. Pelletier (2011, December). Evaluating Value-at-Risk Models with Desk-Level Data. Management Science 57(12), 2213–2227.

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  6. Candelon, B., G. Colletaz, C. Hurlin, and S. Tokpavi (2011, Spring). Backtesting Value-at-Risk: A GMM Duration-Based Test. Journal of Financial Econometrics 9(2), 314–343.

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  10. Haas, M. (2006). Improved duration-based backtesting of value-at-risk. Journal of Risk 8(2), 17–38.
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  11. Jensen, S. r. T. and A. Rahbek (2004, December). Asymptotic Inference For Nonstationary Garch. Econometric Theory 20(06), 1203–1226.

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  13. McNeil, A. J., R. Frey, and P. Embrechts (2005). Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance). Princeton University Press.
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  14. Perignon, C. and D. R. Smith (2010). The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking & Finance 34(2), 362–377.

  15. Pritsker, M. (2006, February). The hidden dangers of historical simulation. Journal of Banking & Finance 30(2), 561–582.

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Cocites

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  13. Backtesting Value-at-Risk: A Generalized Markov Framework. (2015). Pajhede, Thor .
    In: Discussion Papers.
    RePEc:kud:kuiedp:1518.

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