Results 121 to 130 of about 2,923 (211)

A review of backtesting and backtesting procedures

This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective.
Sean D. Campbell
core  

Backtesting of Stock Market

, 2010
The thesis deals with the information system in the company Cyrrus, a.s.. The aim of this thesis is to review the information system using analytical methods SWOT and HOS 8.
Veselý, Václav
core  

Margin Backtesting

, 2012
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system.
Pérignon, Christophe, Hurlin, Christophe   +1 more
core   +1 more source

Backtesting Value-at-Risk Models [PDF]

, 2009
Value-at-Risk has become one of the most popular risk measurement techniques in finance. However, VaR models are useful only if they predict future risks accurately.
Nieppola, Olli
core  

Deep learning in the stock market-a systematic survey of practice, backtesting, and applications. [PDF]

Artif Intell Rev, 2023
Olorunnimbe K, Viktor H.
europepmc   +1 more source

Backtesting d'algorismes d'inversió al mercat valors

[CA] El món del trading és molt ampli i apassionant. Una forma de fer trading és utilitzant estratègies, que han de ser provades i avaluades abans d'utilitzar-se al món real.
Vicente Císcar, Adrià
core  

Backtesting expected shortfall

O Expected Shortfall (ES) tem vindo a ganhar relevância como medida de risco de mercado, nomeadamente após a sua adoção pelo enquadramento regulatório de Basileia, em substituição do Value at Risk (VaR). Apesar de apresentar vantagens claras na captura
Tarelho, André Lourenço
core  

Backtesting Expected Shortfall: the design and implementation of different backtests

, 2015
De senaste åren har frågan om huruvida det är möjligt att hitta backtester som validerar Expected Shortfall varit ett omdiskuterat ämne efter att Gneiting 2011 visade att Expected Shortfall saknade den matematiska egenskapen som kallas elicitabilitet.
openaire   +1 more source

Backtesting in VaR Models of Bitcoins [PDF]

Bitcoins is the most famous cryptocurrency in the world and is getting more and more important as an investment product. But from bitcoins’ historical performance, it can be read that this cryptocurrency has large volatilities which brought many risks to
Shen, Jiadi
core  

TARFA: A Novel Approach to Targeted Accounting Range Factor Analysis for Asset Allocation. [PDF]

Entropy (Basel)
de Leon JJ, Medda F.
europepmc   +1 more source