The theory we used to proceed our backtesting is that the expected number of breaches m which the actual loss exceeds the forecasted the value at risk is n(1 - [alpha]) if the value at risk model
Additional models were developed using the FINCAD F3 analytics package to build an internal historical value at risk model
in order to calculate IM according to the BCBS/IOSCO guidelines.
The theory we used to proceed our back testing is that the expected number of breaches m which the actual loss exceeds the forecasted the value at risk is n(1 - [alpha]) if the value at risk model
Value at Risk model
, enabling us to determine the value which is at risk, has already found its way to the list of needs investors and financial institutions created.
Statistical evaluation of value at risk models
for estimating agricultural risk.
(2001), Value at Risk Models
In Finance, European Central Bank.
For example, a misunderstanding of the strengths and weaknesses of Value at Risk models
may have led leadership at multiple financial institutions to become overconfident and overly reliant on models in decision-making.
In conjunction with developing all risk measurement models, such as market value at risk and credit value at risk models
, they were charged with bringing together, cleaning and maintaining a financial rates database that would include market and credit market data from many different sources.
Hendricks, D., 1996, "Evaluation of Value at Risk Models
Using Historical Data," Federal Reserve Bank of New York Economic Review (April), 39-70.