Book contents
- Validation of Risk Management Models for Financial Institutions
- Validation of Risk Management Models for Financial Institutions
- Copyright page
- Contents
- Figures
- Tables
- Contributors
- Foreword
- Acknowledgments
- 1 Common Elements in Validation of Risk Models Used in Financial Institutions
- 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
- 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
- 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
- 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
- 6 Evaluating Banks’ Value-at-Risk Models during the COVID-19 Crisis
- 7 Performance Monitoring for Supervisory Stress-Testing Models
- 8 Counterparty Credit Risk
- 9 Validation of Retail Credit Risk Models
- 10 Issues in the Validation of Wholesale Credit Risk Models
- 11 Case Studies in Wholesale Risk Model Validation
- 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
- 13 Operational Risk
- 14 Statistical Decisioning Tools for Model Risk Management
- 15 Validation of Risk Aggregation in Economic Capital Models
- 16 Model Validation of Interest Rate Risk (Banking Book) Models
- 17 Validation of Risk Management Models in Investment Management
- Index
- References
2 - Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
Published online by Cambridge University Press: 02 March 2023
By
Book contents
- Validation of Risk Management Models for Financial Institutions
- Validation of Risk Management Models for Financial Institutions
- Copyright page
- Contents
- Figures
- Tables
- Contributors
- Foreword
- Acknowledgments
- 1 Common Elements in Validation of Risk Models Used in Financial Institutions
- 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
- 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
- 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
- 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
- 6 Evaluating Banks’ Value-at-Risk Models during the COVID-19 Crisis
- 7 Performance Monitoring for Supervisory Stress-Testing Models
- 8 Counterparty Credit Risk
- 9 Validation of Retail Credit Risk Models
- 10 Issues in the Validation of Wholesale Credit Risk Models
- 11 Case Studies in Wholesale Risk Model Validation
- 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
- 13 Operational Risk
- 14 Statistical Decisioning Tools for Model Risk Management
- 15 Validation of Risk Aggregation in Economic Capital Models
- 16 Model Validation of Interest Rate Risk (Banking Book) Models
- 17 Validation of Risk Management Models in Investment Management
- Index
- References
Summary
This chapter focuses on the three types of testing that banks are supposed to conduct for their VaR models. These are conceptual soundness, outcomes analysis and benchmarking. This chapter reviews how these three aspects of validation can be applied to VaR models of banks’ trading activities. In the case of backtesting and benchmarking it demonstrates how banks’ VaR models fare under some the backtesting and benchmarking tests.
Keywords
- Type
- Chapter
- Information
- Validation of Risk Management Models for Financial InstitutionsTheory and Practice, pp. 22 - 48Publisher: Cambridge University PressPrint publication year: 2023
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