Evaluating VAR Forecasts Under Stress - the German Experience

22 Pages Posted: 26 Nov 2003

See all articles by Stefan R. Jaschke

Stefan R. Jaschke

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Gerhard Stahl

European Union - Committee of the Regions

Richard Stehle

Humboldt University of Berlin - School of Business and Economics

Date Written: February 2005

Abstract

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. We introduce the notion of well-behaved forecast systems, that allows to use more powerful inference on the level of conservativenessof VaR forecasts than the Basel approach based on the count of exceptions. Furthermore, we provide a series of exploratory statistical analysis tools. The results shed light on the forecast quality of VaR models of German banks in the period from the beginning of 2001 to the end of 2003.

Keywords: banking supervision, VaR, exploratory data analysis, backtesting

JEL Classification: K23, G28

Suggested Citation

Jaschke, Stefan R. and Stahl, Gerhard and Stehle, Richard, Evaluating VAR Forecasts Under Stress - the German Experience (February 2005). Available at SSRN: https://ssrn.com/abstract=461980 or http://dx.doi.org/10.2139/ssrn.461980

Stefan R. Jaschke

infinada

Landshuter Allee 8-10
Munich, 80637
Germany

Gerhard Stahl

European Union - Committee of the Regions ( email )

Brussels
Belgium

Richard Stehle (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany
+49-30-2093-5761 (Phone)
+49-30-2093-5666 (Fax)

HOME PAGE: http://www.wiwi.hu-berlin.de/professuren/bwl/bb/

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