Journal of Banking and Finance 72 (2016) 121–132

VaR預測的評價：一組新的多變量後驗分析

作者：Dominik Wied (Universit?t zu K?ln; Technische Universit?t Dortmund), Gregor N.F. Wei? (Universit?t Leipzig; Technische Universit?t Dortmund), Daniel Ziggel (FOM Hochschule für Oekonomie & Management)

摘要：為了識别多變量VaR預測聚類，我們開展了兩項新的測試。第一，我們通過CUSUM-tests來探究在VaR-violation矩陣中的非穩定預期。第二，我們采用了χ2檢驗，以探測VaR預測中的橫截面數據和時間序列數據的可靠性。更進一步的，我們将新的後驗分析和非條件覆蓋檢驗結合，從而得到兩種新的多變量條件覆蓋檢驗的後驗分析。我們新的後驗分析控制了一系列銀行業務線相關的組合風險，仿真研究的結論證明這種後驗分析是非常有效的。我們實證研究結果還告訴了監管者如何利用多變量後驗分析來監測銀行體系。

關鍵詞：模型風險，多變量後驗分析，VaR，系統風險

Evaluating Value-at-Risk forecasts: A new set of multivariate backtests

Dominik Wied (Universit?t zu K?ln; Technische Universit?t Dortmund), Gregor N.F. Wei? (Universit?t Leipzig; Technische Universit?t Dortmund), Daniel Ziggel (FOM Hochschule für Oekonomie & Management)

ABSTRACT

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect non-constant expectations in the matrix of VaR-violations. Second, we propose χ2 -tests for detecting cross-sectional and serial dependence in the VaR-forecasts. Moreover, we combine our new backtests with a test of unconditional coverage to yield two new back- tests of multivariate conditional coverage. Results from a simulation study underline the usefulness of our new backtests for controlling portfolio risks across a bank’s business lines. In an empirical study, we show how our multivariate backtests can be employed by regulators to backtest a banking system.

Keywords: Model risk, Multivariate backtesting, Value-at-Risk, Systemic risk

原文鍊接：http://dx.doi.org/10.1016/j.jbankfin.2016.07.014

翻譯：郎彪