
Looking forward to back testing
To measure market risk, banks usually predict the distribution of the future (and therefore unknown) gains and losses Gt of a portfolio. Modelling gains and losses is achieved by taking into account all relevant information given by observed risk factor prices or returns, respectively. Thus, the relevant conditional univariate one-step-ahead predictive distribution can be denoted by Ft: = Ft(Gt/Rt-1, Rt-2, ... ), where Rt-1, Rt-2, ... describes (multivariate) past risk factor returns. Three main
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Market risk
Derivatives
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
Receive this by email