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Master's Dissertation
DOI
Document
Author
Full name
Jaime Enrique Lincovil Curivil
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2015
Supervisor
Committee
Chiann, Chang (President)
Alencar, Airlane Pereira
Marques, Guilherme de Oliveira Lima Cagliari
Title in Portuguese
Testes para avaliação das previsões do valor em risco
Keywords in Portuguese
Cobertura condicional
Poder empírico
Teste de avaliação
Valor em risco
Abstract in Portuguese
Neste trabalho, apresentamos alguns métodos para avaliação das previsões do Valor em Risco (VaR). Estes métodos testam um tipo de eficiência, denominada cobertura condicional correta. O poder empírico e a probabilidade do erro de tipo I são comparados através de simulações de Monte Carlo. Além disso, avaliamos um novo método de previsão do VaR, o qual é aplicado nos retornos diários do Ibovespa. Os resultados obtidos mostram que a nova classe de testes, baseados em uma regressão Weibull discreta, em muitos casos, tem poder empírico maior comparando com outros métodos apresentados neste trabalho.
Title in English
Backtesting for value at risk models
Keywords in English
Backtesting
Condition coverage
Empirical power
Value at risk
Abstract in English
In this paper, we present some procedures for assessing forecasts for the Value at Risk (VaR). These procedures test a type of efficiency, referred as correct conditional coverage. The empirical power and type I error probability are compared through a Monte Carlo simulation. The results show that a new class of tests based on a discrete Weibull regression in most cases has greater power empirical to other methods available in this paper.
 
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Publishing Date
2019-08-27
 
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