Abstract
This study aims to verify the actuary of the VaR model to find out whether the VaR model can provide accurate risk measurement results for market risk, especially the stock exchange market of BRICS, particularly historical VaR and delta normal VaR model. We used the POF test and independence test of Kupiec - Christoffersen (1998), which is commonly used to determine the accuracy of VaR for the backtesting VaR model. The result of the risk measurement performance for historical VaR provides a reasonably reliable VaR over delta normal by using Kupiec's POF-test for VaR model accuracy. The independence test of Christoffersen(1998) indicates exceptions to dependency (failures) in the historical VaR and delta normal VaR model.
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