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FRM®知识点：Backtesting VaR
文章来源：网络
发布时间：2022-01-26 14:34
阅读：636次
本文为大家讲解FRM®知识点：Backtesting VaR，一起来学习吧。
If a model were completely accurate,we would expect VaR loss limits to be exceeded(this is called an exception)with the same frequency predicted by the confidence level used in the VaR model.
Difficulties in backtesting a VaR model:
VaR measures assume that the current portfolio is'frozen'over the horizon
The actual return corresponds to actual P＆L(intraday trades,fees,commissions,spreads,and net interest income.)
→→This contamination will be minimized if the horizon is relatively short.
→→The risk manager should track both the actual portfolio return and the hypothetical return that most closely matches the VaR forecast.【点击免费下载>>>更多FRM学习相关资料】
→→Sometimes an approximation is obtained by using a cleaned return:
actual return--all non-mark-to-market items(fees,commissions,and net interest income.)
Model Verification based on Failure Rates
Failure rate,which gives the proportion of times VaR is exceeded in a given sample
Suppose a bank provides a VaR figure at the 1%left-tail level(p=1-c)for a total of T days.
Define N as the number of exceptions and N/T as the failure rate.
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