Metody oceny jakości prognoz ryzyka rynkowego – analiza porównawcza
Methods for evaluating value-at-risk forecasts – comparative analysis

Summary/Abstract: Models for risk measurement in capital market rise problems with their evaluation due to the lack of possibility to observe real VaR series. Analytical formulas cannot be used in case of time-changing distributions of financial variables. In consequence, in the last two decades a lot of testing procedures have been proposed to verify quality of risk models. In the paper, we presented comparative analysis of methods for evaluating VaR forecasts. We analysed test for the number of VaR exceptions as well as tests for autocorrelation of VaR violations. We showed that widely used tests from the 1990s have lower power that the proposition of Engle and Mangianelli from 2004. In the empirical part we used four VaR models for WIG20 index which were applied with testing procedures.

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