Testowanie wsteczne modeli wartości narażonej na stratę

Abstract

Backtesting is an inherent element of every Risk Management System based on VaR methodology. The term 'backtesting' is used to describe various statistical test designed for evaluation of VaR models quality. The results of these tests are one of the most frequently used selection criterion for VaR models. In this paper we present the results of applying Kupiec and Christoffersen tests to portfolios from Polish financial market. In the first section we present the idea of VaR. Next is devoted to the mathematical foundations of Kupiec and Christoffersen tests. The results of applying these tests to two VaR models (Random Walk and GARCH) are presented in the subsection 3.