Validity and Reliability of Value at Risk

Validity and Reliability of Value at Risk

Paper details You already wrote a paper for me on the Evaluation of VaR approximation methods. I want to go further and analyze the reliability of some VaR models by evaluating the VaR forecasts. Kupiec (1995) and conditional coverage backtest namely CC test from Christoffersen (1998) and DQ test from Engle and Manganelli (2004), along with some others if you can find. I will attach 2 documents that I want you to base the paper around.