Stress Testing And Backtesting

Stress Testing and Back Testing [20]

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Bullet points include: Avoid exceptionally adverse outcomes clumping through time. Might imperil solvency/credibility more than if occurring apparently randomly through time. Independence between hit sequence elements. Can test for this, e.g. by creating a contingency table of It versus It-h (e.g. It-1). Or by analysing times between hits

Bullet points include: Avoid exceptionally adverse outcomes clumping through time. Might imperil solvency/credibility more than if occurring apparently randomly through time. Independence between hit sequence elements. Can test for this, e.g. by creating a contingency table of It versus It-h (e.g. It-1). Or by analysing times between hits

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