Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72644
Authors: 
Jaschke, Stefan
Stahl, Gerhard
Stehle, Richard
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/32
Abstract: 
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.
Subjects: 
banking supervision
VaR
exploratory data analysis
backtesting
JEL: 
K23
G28
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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