Evaluating Value-at-Risk Models via Quantile Regression
通过分位数回归评估风险价值模型
This article is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such as Christoffersen (1998) and Engle and Manganelli (2004) are based on such variables. In this article we propose a new backtest that does not rely solely on binary variables. It is…