Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies
The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simulated and real data. The results indicate that...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2006-06-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1157 |