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    Risk exposures are typically quantified in terms of a "Value at risk" (VaR) estimate. A VaR estimate corresponds to a specific critical value of a portfolio's potential one-day profit and loss probability distribution. Formal statistical procedures that would typically be used in performance-based VaR verification tests require large samples.

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    Risk exposures are typically quantified in terms of a "Value at risk" (VaR) estimate. A VaR estimate corresponds to a specific critical value of a portfolio's potential one-day profit and loss probability distribution. Formal statistical procedures that would typically be used in performance-based VaR verification tests require large samples.

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    219 views1 page

    Abstract - Techniques For Verifying The Accuracy of Risk Measurement Models

    Uploaded by

    esfahanipour
    Risk exposures are typically quantified in terms of a "Value at risk" (VaR) estimate. A VaR estimate corresponds to a specific critical value of a portfolio's potential one-day profit and loss probability distribution. Formal statistical procedures that would typically be used in performance-based VaR verification tests require large samples.

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    Techniques for Verifying the Accuracy of Risk
    Citations: 130
    Measurement Models
    Paul H. Kupiec
    Federal Deposit Insurance Corporation (FDIC)
    Risk Managment
    Course
    Civil Eng. for Risk
    THE J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
    Mitigation 2 Yr 120
    Abstract: credits - Visit Our
    Risk exposures are typically quantified in terms of a "Value at Risk" (VaR) estimate. A VaR estimate Site!
    corresponds to a specific critical value of a portfolio's potential one-day profit and loss probability www.master-cerm.lecco.pol…
    distribution. Given their function both as internal risk management tools and as potential regulatory
    measures of risk exposure, it is important to quantify the accuracy of an institution's VaR estimates. This Risk Management
    study shows that the formal statistical procedures that would typically be used in performance-based Oil & Gas
    VaR verification tests require large samples to produce a reliable assessment of a model's accuracy in E & P Risk Assessment
    predicting the size and likelihood of very low probability events. Verification test statistics based on Experts Assessments,
    historical trading profits and losses have very poor power in small samples, so it does not appear Diligence, Assurance
    possible for a bank or its supervisor to verify the accuracy of a VaR estimate unless many years of www.temposltd.com
    performance data are available. Historical simulation-based verification test statistics also require long
    samples to generate accurate results: Estimates of 0.01 critical values exhibit substantial errors even in
    samples as large as ten years of daily data. Financial Risk
    A thesis study on
    JEL Classifications: D81 management and
    aims of financial risk
    Accepted Paper Series www.tesionline.com

    Ramcap Risk
    Date posted: January 09, 1996
    Analysis
    ASME/ANSI Risk
    Analysis standard for
    Suggested Citation college, university
    campuses.
    www.asme.org/ramcap
    Kupiec, Paul H., Techniques for Verifying the Accuracy of Risk Measurement Models. THE J. OF
    DERIVATIVES, Vol. 3 No. 2, Winter 1995. Available at SSRN: http://ssrn.com/abstract=7065
    Project Risk
    Workshop
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    Contact Information

    Paul H. Kupiec (Contact Author)


    Federal Deposit Insurance Corporation (FDIC) ( email )
    550 Seventeenth Street, NW
    Washington, DC 20057
    United States
    202-898-6768 (Phone)
    202-898-8636 (Fax)

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