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Result

A Bayesian Approach to Measurement of Backtest Overfitting

Main topics of the document: multiple testing; backtest overfitting; investment strategy; MCMC...

Finance

  • 2021
    • •
  • JSC
    • •
  • Link
Result

Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

of the backtesting process under the targeted review of internal models (TRIM). It advises on the introductory steps for validating the backtesting process and reviews the available statistical tests for calibration, discrimination...

Finance

  • 2019
    • •
  • Jimp
    • •
  • Link
Result

The application of backtesting methodology on VaR models

This paper describes a backtesting metodology that is used to verify the accuracy of VaR models. Attention is focused on characteristic of financial returns . In the theoretical part of this paper are described backtesting methodolo...

AH - Ekonomie

  • 2003
    • •
  • D
Result

Backtesting

This paper describes a backtesting metodology that is used to verify the accuracy of VaR models. Attention is focused on characteristic of financial returns . In the theoretical part of this paper are described backtesting methodolo...

AH - Ekonomie

  • 2003
    • •
  • D
Result

A Comparison of EVT and Standard VaR Estimations

Main topics of the document: risk measurement; value at risk; extreme value theory; GARCH; expected shortfall; backtesting...

AH - Ekonomie

  • 2012
    • •
  • Jx
Result

Backtesting of portfolio risk in terms of ordinary Lévy copula model.

The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure ? a comparison of the one step ahead ...

AH - Ekonomie

  • 2011
    • •
  • D
Result

Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model

The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure ? a comparison of the one step ahead ...

AE - Řízení, správa a administrativa

  • 2012
    • •
  • Jx
Result

Market risk backtesting via Lévy models and parameter estimation

It is very important that each risk model is validated, ie. it is verified whether it describes the risk on a given probability level sufficiently or not. One of the most popular methods is the backtesting, ie. utilizing of the past market d...

AH - Ekonomie

  • 2010
    • •
  • D
Result

Backtesting of VaR-based models: Methodological review and selected applications

The publication is focused on a methodological review of financial risk models and their backtesting. Selected applications covers various data types, model definitions and parameter estimation. A special attention is focused on a modern too...

AH - Ekonomie

  • 2013
    • •
  • B
Result

Risk estimation for FX rates: basic backt techniques with some application

The soundness of risk monitoring and measuring system is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure - a comparison of the one step ahead r...

BB - Aplikovaná statistika, operační výzkum

  • 2010
    • •
  • D
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