Abstract
| Original language | English |
|---|---|
| Place of Publication | Tilburg |
| Publisher | Finance |
| Number of pages | 31 |
| Volume | 2002-110 |
| Publication status | Published - 2002 |
Publication series
| Name | CentER Discussion Paper |
|---|---|
| Volume | 2002-110 |
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Keywords
- risk management
- capital
Cite this
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Backtesting for Risk-Based Regulatory Capital. / Kerkhof, F.L.J.; Melenberg, B.
Tilburg : Finance, 2002. (CentER Discussion Paper; Vol. 2002-110).Research output: Working paper › Discussion paper › Other research output
TY - UNPB
T1 - Backtesting for Risk-Based Regulatory Capital
AU - Kerkhof, F.L.J.
AU - Melenberg, B.
N1 - Pagination: 31
PY - 2002
Y1 - 2002
N2 - In this paper we present a framework for backtesting all currently popular risk measurement methods (including value-at-risk and expected shortfall) using the functional delta method.Estimation risk can be taken explicitly into account.Based on a simulation study we provide evidence that tests for expected shortfall with acceptable low levels have a better performance than tests for value-at-risk in realistic financial sample sizes.We propose a way to determine multiplication factors, and find that the resulting regulatory capital scheme using expected shortfall compares favorably to the current Basle Accord backtesting scheme.
AB - In this paper we present a framework for backtesting all currently popular risk measurement methods (including value-at-risk and expected shortfall) using the functional delta method.Estimation risk can be taken explicitly into account.Based on a simulation study we provide evidence that tests for expected shortfall with acceptable low levels have a better performance than tests for value-at-risk in realistic financial sample sizes.We propose a way to determine multiplication factors, and find that the resulting regulatory capital scheme using expected shortfall compares favorably to the current Basle Accord backtesting scheme.
KW - risk management
KW - capital
M3 - Discussion paper
VL - 2002-110
T3 - CentER Discussion Paper
BT - Backtesting for Risk-Based Regulatory Capital
PB - Finance
CY - Tilburg
ER -