VaR Measurement Quality for Stochastic Forex Portfolio
©2000 Copyright RiskEye AG
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VaR Measurement Quality for Stochastic Forex Portfolio |
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The graph shows the ratio of the realised VaR exceedence count to the theoretically
expected exceedence count against the confidence level. The region above unity
represent under-estimation of risk. The region below unity represents over-estimation
of risk. The data represents 391 business days from 1.1.1999 to 30.06.2000.
For each day of the backtesting, 20 portfolios are constructed using random vectors
to describe positions over 9 major currencies against the USD. The VaR quality
measurement is therefore based on a sampling of 391 X 20 portfolios. This method
backtests the RiskEye VaR measurement system over time as well as portfolio space.
It is possible to callibrate the underlying GARCH parameters of the unbiased
simulation to make the VaR measurement more or less conservative than it is at present.
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©2000 Copyright RiskEye AG
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