Stress Testing And Backtesting

Stress Testing and Back Testing [18]

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Bullet points include: In general, seek a model whose observed vs. expected QQ-plot is a straight line at a 45-degree angle (if x-axis suitably defined). Also called calibration. Models with lots of parameters can fit past arbitrarily well. Trade-off between goodness of fit and ‘parsimony’ (model simplicity)

Bullet points include: In general, seek a model whose observed vs. expected QQ-plot is a straight line at a 45-degree angle (if x-axis suitably defined). Also called calibration. Models with lots of parameters can fit past arbitrarily well. Trade-off between goodness of fit and ‘parsimony’ (model simplicity)

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