Evaluating VaR forecasts under stress: the German experience
- 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.
Author: | Stefan Jaschke, Gerhard Stahl, Richard Stehle |
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URN: | urn:nbn:de:hebis:30-10376 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,32 |
Series (Serial Number): | CFS working paper series (2003, 32) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2003 |
Year of first Publication: | 2003 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2005/06/13 |
Tag: | VaR; backtesting; banking supervision; exploratory data analysis |
GND Keyword: | Value at Risk; Deutschland; Bank; Prognose |
Issue: | October 2003 |
HeBIS-PPN: | 210780347 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | Deutsches Urheberrecht |