A review of backtesting for value at risk

ABSTRACT

There have been many backtesting methods proposed for value at risk. Yet they have rarely been applied in practice. Here, we provide a comprehensive review of all of the recent backtesting methods for VaR. This review could encourage applications and also the development of further backtesting methods.

KEYWORDS:

• Coverage
• likelihood ratio
• violation.

MATHEMATICS SUBJECT CLASSIFICATION:

• 62E99

Acknowledgments

The authors would like to thank the Editor and the referee for careful reading and comments which improved the paper.