Research Discussion Paper – RDP 9708 Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques

Contents

• Introduction
• Value-at-risk
• Backtesting
• Conclusion
• References

The views expressed in this paper are those of the authors and do not necessarily reflect those of the Reserve Bank of Australia. A number of people (both within the Reserve Bank and from other banks) provided useful comments. We are particularly grateful to Phil Lowe, Brian Gray and the bank that provided the data for testing.