Stress Testing And Backtesting

Stress Testing and Back Testing [21]

Go to: Summary | Previous | Next
Bullet points include: VaR depends on timescale. Serial (i.e. auto-) correlation. A sign of illiquidity? Daily data appears to be more fat-tailed than monthly data, but maybe more noticeably so on upside

Bullet points include: VaR depends on timescale. Serial (i.e. auto-) correlation. A sign of illiquidity? Daily data appears to be more fat-tailed than monthly data, but maybe more noticeably so on upside

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile