Backtesting
Backtesting Solvency II value-at-risk models using a rolling horizon
The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds.
Backtesting has a place in structured products market
Regulatory panel suggests backtesting internally is best practice
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
FCA could look to Consob for probability test
UK regulator adjudicates on Credit Suisse and Yorkshire Building Society
Hedge backtesting for model validation
Hedge backtesting for model validation
Applied risk management series: Optimising commodity hedging programmes
The design and optimisation of a successful commodity hedging programme requires solid backtesting that meets the needs of different business functions. Using a recent case study, Carlos Blanco and Tamir Druz show how various tests can complement and…
Cutting Edge: Measuring the risk of Financial Transmission Rights
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 of FTRs/TCCs – such as non-normality and seasonality …
Valid Assumptions Required: an analysis of VaR for energy markets
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 to produce the VaR number.
Dow Jones launches Islamic index for sharia ETF
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 track 100 companies outside the US which have passed…