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Backtesting an equity risk model under Solvency II [PDF]
Journal of Business Research, 2018 Backtesting is a technique for validating internal models under Solvency II, which allows for evaluating the discrepancies between the results provided by a model and real observations.
Pablo Duran Santomil +1 more
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SSRN Electronic Journal, 2011
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. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which ...
Christophe Hurlin, Christophe Pérignon
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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. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which ...
Christophe Hurlin, Christophe Pérignon
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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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Multinomial backtesting of distortion risk measures
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.
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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.
Brownlees C., Souza A. B. M.
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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