Results 11 to 20 of about 2,923 (211)
Development of a Backtesting Web Application for the Definition of Investment Strategies
Knowledge, 2023 Backtesting represents a set of techniques that aim to evaluate trading strategies on historical data in order to verify their effectiveness before applying them to a market in real time.
Antonio Sarasa-Cabezuelo
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, 2000 With the implementation of Value-at-Risk (VaR) models a new chapter of risk management was opened. Their ultimate goal is to quantify the uncertainty about the amount that may be lost or gained on a portfolio over a given period of time. Most generally, the uncertainty is expressed by a forecast distribution P t+1 for period t+1 associated with the ...
Härdle, Wolfgang, Stahl, Gerhard
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A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies [PDF]
Entropy, 2023 In this study, we propose three portfolio strategies: allocation based on the normality assumption, the skewed-Student t distribution, and the entropy pooling (EP) method for 14 small- and large-capitalization (cap) cryptocurrencies.
Jules Clement Mba +1 more
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A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
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Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall [PDF]
Journal of Banking and Finance, 2018 Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall - or the trading book model from which it is calculated - can be based on a ...
Alexander J Mcneil
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SSRN Electronic Journal, 2022 In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions.
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
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VIX constant maturity futures trading strategy: A walk-forward machine learning study. [PDF]
PLoS ONEThis study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information derived from VIX CMFs.
Sangyuan Wang +4 more
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Backtesting Quantum Computing Algorithms for Portfolio Optimization
IEEE Transactions on Quantum EngineeringIn portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets.
Gines Carrascal +3 more
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Backtesting lambda value at risk [PDF]
The European Journal of Finance, 2017 A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve several problems of the VaR. In this paper we propose three nonparametric backtesting methodologies for the Lambda VaR
Corbetta, J., Peri, Ilaria
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A comparison of market risk measures from a twofold perspective: accurate and loss function [PDF]
ACRN Journal of Finance and Risk Perspectives, 2023 Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR ...
Sonia Benito Muela +2 more
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