Backtesting Value-at-Risk: A Duration-Based Approach
研究了基于风险价值违反间隔天数的新回溯测试方法，蒙特卡洛模拟表明该方法在样本量较小时比传统方法更有效，适用于银行内部模型的市场风险管理。
Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample settings. Our contribution is the exploration of new tools for backtesting based on the duration of days between the violations of the Value-at-Risk. Our Monte Carlo results show that in realistic situations, the new duration-based tests have considerably better power properties than the previously suggested tests.