Results 171 to 180 of about 4,544 (205)
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2022
<b>German Abstract:</b> Die Arbeit untersucht, ob die Umsetzung von „Volatilitaetsziel“-Strategien in der Vergangenheit erfolgreicher als herkömmliche „Kaufen-und-Halten“-Strategien gewesen wäre. Als wesentliche Erkenntnis stellt sich heraus, dass die Strategien meist risikoreduzierend wirken.
Simon Pleines, Frank Lehrbass
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<b>German Abstract:</b> Die Arbeit untersucht, ob die Umsetzung von „Volatilitaetsziel“-Strategien in der Vergangenheit erfolgreicher als herkömmliche „Kaufen-und-Halten“-Strategien gewesen wäre. Als wesentliche Erkenntnis stellt sich heraus, dass die Strategien meist risikoreduzierend wirken.
Simon Pleines, Frank Lehrbass
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Multinomial Backtesting of Distortion Risk Measures [PDF]
Insurance: Mathematics and EconomicsWe extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels.
Stefan Weber, Sören Bettels
exaly +1 more source
2001
The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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Journal of Forecasting, 2015
This paper proposes the implementation of a VaR backtesting procedure able to overcome the subadditivity property failure of value‐at‐risk (VaR). More precisely, we propose the implementation of a multivariate portmanteau test statistic of Ljung–Box type applied to hits collected from several trading desks or divisions at once.
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This paper proposes the implementation of a VaR backtesting procedure able to overcome the subadditivity property failure of value‐at‐risk (VaR). More precisely, we propose the implementation of a multivariate portmanteau test statistic of Ljung–Box type applied to hits collected from several trading desks or divisions at once.
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Backtesting global Growth-at-Risk
Journal of Monetary Economics, 2019We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP, including the national financial conditions index.
Christian T. Brownlees +1 more
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2015
Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data.
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Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data.
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2016
In this chapter, we will use the data and functions established thus far to build a backtester to simulate the results of trading with a given strategy. We will run our simulator with a few example strategies. We will introduce many practical trading considerations as we construct sample strategies.
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In this chapter, we will use the data and functions established thus far to build a backtester to simulate the results of trading with a given strategy. We will run our simulator with a few example strategies. We will introduce many practical trading considerations as we construct sample strategies.
openaire +1 more source
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Management Science, 2021Jérémy Leymarie +2 more
exaly