Stress Testing And Backtesting

Stress Testing and Back Testing [7]

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Bullet points include: Monitor model accuracy and prediction ability by back testing. Each business day, 1 day VaR back test. Done at least as frequently as monthly. Ideally on hypothetical changes, end-of-day to end-of-subsequent-day, assuming unchanged positions

Bullet points include: Monitor model accuracy and prediction ability by back testing. Each business day, 1 day VaR back test. Done at least as frequently as monthly. Ideally on hypothetical changes, end-of-day to end-of-subsequent-day, assuming unchanged positions

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