%0 Journal Article %T A New Approach to Comparing VaR Estimation Methods %+ Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH) %+ University of Queensland [Brisbane] %A Pérignon, Christophe %A Smith, R.D. %< avec comité de lecture %@ 1074-1240 %J Journal of Derivatives %I Institutional Investor Inc. %V 16 %N 2 %P 54-66 %8 2008-12-01 %D 2008 %R 10.3905/JOD.2008.16.2.054 %K Value-at-Risk %K Bank Trading Revenue %K Backtesting %K Coverage Test %Z Humanities and Social Sciences/Business administration/domain_shs.gestion.finJournal articles %X We develop a novel backtesting framework based on multidimensional Value-at-Risk (VaR) that focuses on the left tail of the distribution of the bank trading revenues. Our coverage test is a multivariate generalization of the unconditional test of Kupiec (Journal of Derivatives, 1995). Applying our method to actual daily bank trading revenues, we find that non-parametric VaR methods, such as GARCH-based methods or filtered Historical Simulation, work best for bank trading revenues. %G English %L hal-00854087 %U https://hec.hal.science/hal-00854087 %~ SHS %~ HEC %~ CNRS