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Looking Forward to Backtesting
Company: Risk
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: May
Resource Link: Click here to open
Pages: 90-95
Download Count: 0
View Count: 1279
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-24-2012
Publisher: Administrator
Summary
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models’ adequacy. This paper proposes a new regime of back testing, combining state-of-the-art methodologies in a decision tree to ameliorate the market risk model.
This document may be downloaded without charge from Risk.net.
Author(s)
Wehn, Carsten S. Sign in to follow this author
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