REFERENCES

J. Berkowitz (2001). Testing density forecasts, with applications to risk management. Journal of Business and Economic Statistics 19, 4: 465–474.

C. Blanco, and G. Ihle (1999). How good is your VaR? Using back-testing to assess system performance. Financial Engineering News 11, August: 1–2.

S. Campbell (2007). A review of back-testing and back-testing procedures. Journal of Risk 9, 2: 1–17.

P. F. Christoffersen (1998). Evaluating interval forecasts. International Economic Review 39, 4: 841–862.

C. Crnkovic, and J. Drachman (1996). Quality control. Risk 9, 9: 139–143.

F. X. Diebold, T. A. Gunther, and A. S. Tay (1998). Evaluating density forecasts with applications to financial risk management. International Economic Review 39, 4: 863–883.

K. Dowd (2004). A modified Berkowitz back-test. Risk 17, 4: 86.

K. Dowd (2005). Measuring Market Risk, 2nd edition. Chichester: John Wiley & Sons.

R. F. Engle, and S. Manganelli (2004). CAViaR: Conditional autgressive value-at-risk by regression quantiles. Journal of Business and Economic Statistics 22, 4: 367–381.

D. Hendricks (1996). Evaluation of value-at-risk models using historical data. Federal Reserve Bank of New York Economic Policy Review 2 (April): 39–70.

P. Kupiec (1995). Techniques for verifying the accuracy of risk management models. Journal of Derivatives 4, 3: 73–84.

J. A. Lopez (1998). Regulatory evaluation of value-at-risk models. Federal Reserve Bank of New York Economic Policy Review 4, 3: 119–124.

Get Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.