Backtesting Value-at-Risk Accuracy: A New Simple Test

Christophe Hurlin; Sessi Tokpavi

Journal Articles Journal of Risk Year : 2007

Backtesting Value-at-Risk Accuracy: A New Simple Test

(1) , (1)

1

Christophe Hurlin

Function : Correspondent author
PersonId : 819007
IdHAL : christophe-hurlin
ORCID : 0000-0002-6082-8251
IdRef : 079115969

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Laboratoire d'économie d'Orleans [2008-2011]

Sessi Tokpavi

Function : Author
PersonId : 833293
ORCID : 0000-0001-7852-4232
IdRef : 136005462

Laboratoire d'économie d'Orleans [2008-2011]

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Backtesting Value-at-Risk Accuracy New Simple Test

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Economics and Finance

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https://shs.hal.science/halshs-00357066

Submitted on : Thursday, January 29, 2009-2:19:43 PM

Last modification on : Monday, May 15, 2023-2:18:04 PM

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halshs-00357066 , version 1 (29-01-2009)

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HAL Id : halshs-00357066 , version 1

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Christophe Hurlin, Sessi Tokpavi. Backtesting Value-at-Risk Accuracy: A New Simple Test. Journal of Risk, 2007, n° 9 (n° 2), pp. 19-37. ⟨halshs-00357066⟩

Backtesting Value-at-Risk Accuracy: A New Simple Test

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