@article{perignon:hal-00854087, TITLE = {{A New Approach to Comparing VaR Estimation Methods}}, AUTHOR = {P{\'e}rignon, Christophe and Smith, R.D.}, URL = {https://hec.hal.science/hal-00854087}, JOURNAL = {{Journal of Derivatives}}, PUBLISHER = {{Institutional Investor Inc.}}, VOLUME = {16}, NUMBER = {2}, PAGES = {54-66}, YEAR = {2008}, MONTH = Dec, DOI = {10.3905/JOD.2008.16.2.054}, KEYWORDS = {Value-at-Risk ; Bank Trading Revenue ; Backtesting ; Coverage Test}, HAL_ID = {hal-00854087}, HAL_VERSION = {v1}, }