Value-at-risk model performance during covid-19

We investigate three different Value-at-Risk models and their performance during the last year, including the Covid-19 turmoil.

The financial industry uses value-at-risk models for many different purposes.

It is commonly used for measurement of capital, fund exposures, and limiting trading risk. Backtesting analysis show the  (non)performance of the various models during the last year.

The question is; are all models equally good and how should we interpret the failed backtesting results of some of them?

We show stylised facts of three different models, for holdings of stocks and bonds.

Download the report here: [Value-at-risk model performance during covid-19]