2604.01139 The Exceedance Survival Curve: Kaplan-Meier Analysis of Value-at-Risk Model Failure Times Reveals Non-Exponential Clustering Across 18 Equity Markets
Backtesting Value-at-Risk (VaR) models conventionally counts how many exceedances occur in a window and checks whether the count matches the nominal rate. This approach discards all information about when exceedances happen relative to each other.