Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Nov 1997
RDP
9708
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1997/9708.html
Backtesting
1 Nov 1997
RDP
9708
Such testing is often referred to as ‘backtesting’. Many banks that use VaR models routinely perform simple comparisons of daily profits and losses with model-generated risk measures to gauge the ... It should be kept in mind that shortcomings in the
https://www.rba.gov.au/publications/rdp/1997/9708/backtesting.html
Conclusion
1 Nov 1997
RDP
9708
The use of VaR models has spread remarkably rapidly across the financial industry over the past six or so years. ... That said, the use of VaR models are at comparatively early stages of development for many Australian banks.
https://www.rba.gov.au/publications/rdp/1997/9708/conclusion.html
Introduction
1 Nov 1997
RDP
9708
Hence, the testing of VaR model performance is a fundamental part of the proposed capital standards. ... Since these tests focus on the past performance of a VaR model such testing is commonly referred to as backtesting.
https://www.rba.gov.au/publications/rdp/1997/9708/introduction.html
Value-at-risk
1 Nov 1997
RDP
9708
The prime focus of a VaR model is the probability of tail events, hence, the long tails of the t-distribution have a disproportionate effect on the VaR estimate. ... In addition, a dollar-value VaR can be directly compared to actual trading profit and
https://www.rba.gov.au/publications/rdp/1997/9708/value-at-risk.html