Portfolio Backtesting


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Campbell, S. D. (2006). A review of  backtesting and backtesting procedures. Journal of Risk, 9, No. 2, pp. 1-17


Christoffersen, P. (1998). Evaluating interval forecasts. International Economic Review, 39, pp. 841-62


Christoffersen, P. and Pelletier, D. (2004). Backtesting value-at-risk: a duration-based approach. Journal of Empirical Finance, 2, pp. 84-108


Dowd, K. (2006). Backtesting market risk models in a standard normality framework. Journal of Risk, 9, No. 2, pp. 93-111


Hurlin, C. and Tokpavi, S. (2006). Backtesting value-at-risk accuracy: a simple new test. Journal of Risk, 9, No. 2, pp. 19-37


Kemp, M.H.D. (2009). Market consistency: Model calibration in imperfect markets. John Wiley & Sons [for further information on this book please see Market Consistency]


Pena, V. H. de la, Rivera, R. Ruiz-Mata, J. (2006). Quality control of risk measures: backtesting VAR models. Journal of Risk, 9, No 2, pp. 39-54


Zumbach, G. (2006). Backtesting risk methodologies from one day to one year. Journal of Risk, 9, No 2, pp. 55-91


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