|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|106232||2018||15 صفحه PDF||سفارش دهید||11910 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 88, March 2018, Pages 393-407
Under the Fundamental Review of the Trading Book, capital charges are based on the coherent Expected Shortfall (ES) risk measure, which is sensitive to tail risk. We argue that backtesting of the forecasting models used to derive ES can be based on a multinomial test of Value-at-Risk (VaR) exceptions at several levels. Using simulation experiments with heavy-tailed distributions and GARCH volatility models, we design a statistical procedure to show that at least four VaR levels are required to obtain tests for misspecified trading book models that are more powerful than single-level (or even two-level) binomial exception tests. A traffic-light system for model approval is proposed and illustrated with three real-data examples spanning the 2008 financial crisis.