Nematrian
/

Stress Testing and Back-testing for UCITS [11]

Go to: Summary | Previous | Next   
Bullet points include: Short-cutting the future by referring merely to the past introduces look-back bias. How this works out in practice depends on how the back-testing is carried out. In-sample testing. Might back-test by applying the same model (and parameters) to the entire past, having estimated the model using the same aggregate past data. Poor fit largely indicates an inept risk modeller! So we can’t conclude much from a good ‘in-sample’ fit

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile