The Risk Map: A New Tool for Validating Risk Models

By Perignon Christophe, Hurlin Christophe, and Colletaz Gilbert
Journal of Banking and Finance (2013)

  • Christophe Perignon

    HEC Paris


  • Christophe Hurlin

    University of Orléans


  • Gilbert Colletaz

    University of Orléans



September 27, 2013

Last update

June 20, 2016










The goal of this code is to automatically create a "Risk Map" from a series of Value-at-Risk (VaR) and profit and loss (P&L). Given the time series of VaR(α) and P&L, we generate the corresponding time series for VaR(α'), with α'<α through calibration. This is done by extracting the conditional variance of the P&L from VaR(α) and then plugging it into the formula for VaR(α'). A "super exception" is then defined as P&L < -VaR(α'). We formally test whether the sequence of exceptions and super exceptions satisfies standard backtesting conditions. Finally, the Risk Map graphically summarizes all information about the performance of the risk model.

The International Spillover Effects of US Monetary Policy Uncertainty

Journal of International Economics (2021)

Lakdawala Aeimit, Moreland Timothy, and Schaffer Matthew

The impact of the Covid public policies on the Chilean households

Applied Economics Letters (2021)

Madeira Carlos

The impact of the Covid pandemic public policies in Chile on consumption

Economía (2021)

Madeira Carlos

The effect of FOMC votes on financial markets

Review of Economics and Statistics (2019)

Madeira Carlos and Madeira Joao

Priorización de pago de deudas de consumo en Chile: el caso de Bancos y Casas Comerciales

Economía Chilena (2018)

Madeira Carlos

Motivaciones del Endeudamiento en las Familias Chilenas

Economía Chilena (2015)

Madeira Carlos

Gestión Hipotecaria de las Familias Chilenas

Economía Chilena (2013)

Madeira Carlos

El Impacto del Endeudamiento y Riesgo de Desempleo en la Morosidad de las Familias Chilenas

Economía Chilena (2014)

Madeira Carlos

Computing population weights for the EFH survey

Economía Chilena (2019)

Madeira Carlos

0 comment

Add comment

You need to log in to post a comment.