var-model

Learning Objectives: Describe some important considerations for a bank in assessing the conceptual soundness of a VaR model during the validation process. Explain how to conduct sensitivity analysis for a VaR model, and describe the potential benefits and challenges of performing such an...

Learning Objectives: Identify the properties of an exceedance-based back test that indicate a VaR model is accurate and describe how these properties are reflected in a PIT-based back test. Explain how to derive probability integral transforms (PITs) in the context of validating a VaR model...