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Published online by Cambridge University Press: 02 March 2023
This chapter presents a general approach for evaluating the empirical performance of VaR models. The approach leverages data used in standard VaR backtesting, filtering on a number of selected conditioning variables, to perform tests on specific properties of the model. This simple but general approach can be used to test a wide range of model properties and provide useful information on potential areas of improvement for a VaR model.
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