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A New Approach to Comparing VaR
Estimation Methods ∗
Christophe PÉRIGNON
Daniel R. SMITH
Abstract: 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.
JEL Classification: G21, G28, G32
Keywords: Value-at-Risk, Bank Trading Revenue, Backtesting, Coverage Test
∗ Pérignon is an Associate Professor at HEC Paris, France and Smith is an Associate Professor in the
Faculty of Business at Simon Fraser University in Vancouver, Canada and is currently a Visiting
Fellow in the Faculty of Business in the Queensland University of Technology in Brisbane, Australia.
We warmly thank the Editor Stephen Figlewski for his useful comments and suggestions. Emails:
perignon@hec.fr (Pérignon), drsmith@sfu.ca (Smith). Contact Author: Daniel Smith, Faculty of
Business Administration, Simon Fraser University, 8888 University Drive, Burnaby V5A 1S6, BC,
Canada. Tel: 1-604-291 4675, Fax: 1-604-291 4920.
1
Electronic copy available at: /abstract=981207
A New Approach to Comparing VaR Estimation Methods
1. Introduction
Value-at-Risk (hereafter VaR) is the standard measure for market risk used by financial
institutions and banking regulators. VaR quantifies the loss that a bank can face on its trading
portfolio within a given perio
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