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.

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Metadaten
Author:Stefan Jaschke, Gerhard Stahl, Richard Stehle
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: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
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):License LogoDeutsches Urheberrecht