How Accurate Are Value‐at‐Risk Models at Commercial Banks?
分析大型商业银行交易收入数据及其内部风险价值预测，首次评估实际使用模型的统计准确性，对风险管理者与监管者判断模型可靠性有参考价值。
ABSTRACT In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value‐at‐Risk (VaR) forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value‐at‐Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use.