Quantifying model performance

Quality of replicating portfolio is used to measure performance of a model

CLICK HERE TO VIEW THE PDF

To assess the performance of a model, practitioners often use the so-called P&L Explain, which measures whether portfolio price movements can be explained using changes in risk factors and corresponding sensitivities. This criterion can be misleading when assessing the performance of a model. Alexandre Antonov, Jan Baldeaux and Rajiv Sesodia introduce a new metric, a backward-looking criterion, based on the same replication arguments used in no-arbitrage derivatives

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: