Construct · 1 fields · 1 citations

Kupiec test: a standalone construct

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Risk management

backtest of a value at risk model that checks whether the observed frequency of losses beyond VaR matches the expected rate.

In risk management, Kupiec test refers to backtest of a value at risk model that checks whether the observed frequency of losses beyond VaR matches the expected rate. This meaning comes from Kupiec (1995) in The Journal of Derivatives.[1]

Unit
Recovery means
Measured by

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Nearby constructs

frequency4 fields · 7 citationsjingle · one word, four constructs model3 fields · 3 citationsjingle · one word, three constructs risk6 fields · 13 citationsjingle · one name, six constructs

References

Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. https://doi.org/10.3905/jod.1995.407942

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