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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Author:Stefan Jaschke, Gerhard Stahl, Richard Stehle
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
Year of Completion:2003
Year of first Publication:2003
Publishing Institution:Universit├Ątsbibliothek 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
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht