Research ArticleOpen accessIn the keywordsTesting VaR Accuracy for CDS Portfolios Using Historical Simulation and Delta-Normal ModelsViviane Y. NaimyThis paper studies the accuracy of the VaR using the Delta-Normal and Historical approaches in measuring the risk of CDS portfolios in three different zones, US, Europe and Asia, for the period March 2013-November 2015. The portfolios consist exclusively of CDS of high rated banks and financial institutions. We found that at the 95% confidence level both approaches were accurate … …Journal of Mathematics and Statistics, Vol. 12, Issue 2 · 16 Apr 2016 · 7,499 accessesView PDFCite