Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

backtesting sign in to follow this
forecast sign in to follow this
historical sign in to follow this
simulation sign in to follow this
capital sign in to follow this

VaR Methods sign in to follow this
--Backtesting sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Development of Systematic Backtesting Processes of Value-at-Risk
Company: Helsinki University of Technology
Year Of Publication: 2007
Month Of Publication: June
Pages: 96
Download Count: 410
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 8-4-2007
Publisher: Administrator
Positions in financial instruments expose the owner to market risk, which refers to the possibility ofloss in the market value of the positions due to adverse changes in interest rates, foreign exchangerates, equity prices and commodity prices. The most extensively used risk measure in market riskmanagement in banks, insurance companies and other financial institutions is Value-at-Risk (VaR).This measure is an estimate of the largest potential loss due to market movements over a specifiedtime interval with a given level of confidence. A proper introduction to the mathematical theory ofVaR is given in this Thesis.The major objectives of this Thesis are (i) to give an overview of different backtesting methods andthe properties that are included in backtesting, and (ii) to formulate backtesting to a detailed processfrom an organizational perspective. The process formulation will address real life problems inbacktesting implementation and define backtesting as an iterative procedure that is under continuousimprovement. The use of different methods is considered and a recommendation of the primarybacktesting method is given, which is based on an empirical study. This Thesis also considersbacktesting from the regulatory viewpoint.The main contribution of this Thesis is to improve risk management through the implementation ofa well defined backtesting process. Other implications are the disengagement of capital for businessand the resource reallocation possibilities. A financial organization can expect concrete revenue andrisk management benefits from the process formulation in this Thesis. The organizationalperspective taken in this Thesis is pioneering, as most of the earlier research concentrates on theregulatory point of view.
Lehikoinen, Kimmo Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile