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Following a dynamic development of VaR estimation methods from 90s, in recent
literature much attention has been paid to testing procedures designed to evaluate quality of VaR
models. There has been a wide-ranging discussion on both – statistical properties and empirical
application of the two most popular tests, which are Kupiec test from 1995 that considers the ratio
of VaR exceedances and Christoffersen...
In many statistical applications the main point of interest is estimating some
population central characteristic such as the mean or the median. The Shewhart’s control chart X
is based on monitoring the average process level. However, in some areas the main interest is
based on estimating the maximum or the minimum. The proposal of the monitoring processes
based on the properties of the Gumbel...
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