Increasing the Power of a VaR Backtest
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1. Context
In this short video, we explore the concept of power of a VaR backtest and then further, look at ways of improving the power by playing around with design parameters such as confidence level at which the VaR is computed and the length of the time window over which this backtest is conducted. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | Backtesting |
| Reference | Philippe Jorion, Chapter 6. Backtesting In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw- Hill, 2007). |