TY  - UNPD
A1  - Jaschke, Stefan
A1  - Stahl, Gerhard
A1  - Stehle, Richard
T1  - Evaluating VaR forecasts under stress: the German experience
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,32
N2  - We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.
T3  - CFS working paper series - 2003, 32 
KW  - banking supervision
KW  - VaR
KW  - exploratory data analysis
KW  - backtesting
KW  - Value at Risk
KW  - Deutschland
KW  - Bank
KW  - Prognose
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4466
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10376
IS  - October 2003
ER  -