performance of historical VaR parameters

External question — Quantitative Finance Stack Exchange Author: Ram Ahluwalia Original post: https://quant.stackexchange.com/questions/2546 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. An historical VaR measure is parameterized in terms of the confidence level and also number of periods. Specifically, the $\alpha$% T-period VaR is defined as the portfolio loss x in market value over time T that is not expected to be exceeded with probability (1 - $ \alpha$). I am looking for empirical backtesting research on the choice of T-period and $\alpha$% for producing stock portfolios. Usually this backtest research involves looking at the # of "exceptions" (violations of the predicted risk), convergence tests, the Kupiec, and Kupier test, or involves looking at the realized risk of a portfolio constructed to minimize the VaR measure. An illustrative example of this research is here -- however, this study involves the Greek equity market and the sample consists of only 5 equities and my focus market is U.S. equity portfolios consisting of say 25+ securities for 3-month to 1-year holding periods. Another VaR study covering the Forex market is here .

External answer — Quantitative Finance Stack Exchange Author: user12348 Original post: https://quant.stackexchange.com/a/21435 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. By very nature of VaR, CVAR etc they are dependent on the portfolio, data window, variance-covariance estimation, returns, portfolio weights etc. Backtesting failure requires you to review how you create VaR, for example. I do not see how you can gain much insight from some studies. May be you can start out with a stable sub set and add non linearity incrementally. Developing a very complex model, right of the top, may inhibit comprehension of results. If there was an close form analytical solution then you have some good research that you can use. I do not believe, random studies can do any good. Just realized that this is a very old question, anyways.