Alan Cosme Rodrigues da Silva
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Claudio Henrique Da Silveira Barbedo
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Gustavo Silva Araújo
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Myrian Beatriz Eiras das Neves
The purpose of this paper is to analyze backtesting methodologies of
VaR, focusing on aspects as suitability to volatile markets and limited data
set. We verify, from regulatory standpoint, tests to complement the Basel
traffic light results, using simulated and real data. The results indicate
that tests based on failures proportion are not adequate for small samples
even fro 1,000 observations. The Basel criterion is conservative and has low
power, which does not invalidate its application, as the criterion is only
one of the procedures adopted in internal model validation process. Thus, it
is suggested using tests that capture the shape of returns distribution, as
the Kuiper test, in addition to the Basel criterion.
Comprehensive experimental investigation on biomass‐glass beads binary fluidization: A data set for CFD model validation