Back testing
Cutting Edge: Measuring the risk of Financial Transmission Rights
Published online only
Source: Energy Risk
In this month’s article, Ning Zhang proposes a semi-parametric approach to calculate the risk of FTRs/TCCs portfolios whose risk is hard to capture by using standard VaR methods. The major specialties...
Published online only
Source: Energy Risk
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation...
Published online only
Source: Structured Products
Dow Jones has launched a new Islamic index, which has been simultaneously licensed to an exchange-traded fund (ETF) provider in the US. The Dow Jones Islamic Market International Titans 100 Index will...
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More Back testing articles
Victory at last
Published online only
Source: Structured Products
The seismic movements in the financial markets last year confounded even the experts, as correlation took down every asset class and unwitting trader going. Victor Sperandeo, better known as Trader Vic, talks exclusively on the back of his latest index...
Valid Assumptions Required: backtesting
Published online only
Source: Energy Risk
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
The year of living riskily
Original headline:
Source: Risk magazine
Value-at-risk continued to rise at the world's leading banks in the first quarter of 2008, reflecting increased volatility in the financial markets. Many recorded multiple exceptions, raising further questions about the accuracy of assumptions underpinning...
Looking forward to back testing
Published online only
Source: Risk magazine
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art methodologies...
The Journal of Risk Volume 9/Number 2 2006/07
Published online only
Source: Journal of Risk
Welcome to Volume 9 Issue 2 of The Journal of Risk. This issue is made up of 4 technical papers: The literature on backtesting financial risk models has long been dominated by two rival paradigms. The first is the "exceedance framework": this focuses...
The Journal of Risk Volume 8/Number 2 2005/06
Published online only
Source: Journal of Risk
Welcome to Volume 8 Issue 2 of The Journal of Risk. This issue is made up of 4 technical papers: In "Backtesting within the trading book", Stahl,Wehn and Zapp expand the usual backtesting procedure, which is done at the highest level of the institution....
VAR: history or simulation?
Published online only
Source: Operational Risk & Regulation
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation...
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