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Stress Testing and Back-testing for UCITS Funds
This presentation explores stress testing and back testing for UCITS funds, including proposed regulatory guidelines, back testing issues (such as periodicity, look-back bias, selection effects and market-implied risk measurement). It also explores the different interpretations that can be placed on the term 'stress testing'.
Slides
1
Stress Testing and Back-testing for UCITS Funds
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Agenda
3
CESR Risk Management Principles - February 2009
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Basic principles
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Visualising likelihoods
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Back-testing
7
1. Back-testing is closely linked to calibration
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2. Return behaviour depends on periodicity
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3. Focus on entire distributional form or on just one quantile?
10
4. Does the model fit well 'period by period'?
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5. Look-back bias, in sample and out-of-sample testing (1)
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5. Look-back bias, in sample and out-of-sample testing (2)
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Selection effects: (1) Noise versus Meaning
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Selection effects: (2) Example data
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Selection effects: (3) Principal components analysis
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Selection effects: (4) Including 'meaning'
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Selection effects: (5) Can be very important!
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Market consistent risk measurement
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Back-testing in other regulatory frameworks
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Stress Testing
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Stress Testing - Additional drivers
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Different meanings given to the term 'Stress Testing'
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Reverse stress testing
24
Stress testing - other observations
25
Stress testing - statistical techniques
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Summary
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Important Information
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