Miara ryzyka estymacji parametrów modelu VaR

Value at risk is one of the most common measures of financial risk. There are many approaches to validating value-for-value models. In addition to ex post tests, ex ante models must also be validated. The risk of model estimation is particularly important in finance due to the limited number of historical data that is available to estimate the parameters. The aim of this paper is to propose a measure of the risk of estimating the VaR model based on the interval of the value at risk.