Stress Testing And Backtesting

Stress Testing and Back Testing [31]

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Bullet points include: VaR style models – the UCITS equivalent to ‘internal models’ elsewhere. Back testing. An important tool for validating risk models, but not a panacea. Selection effects could be important for actively managed portfolios. Stress testing. Less focus on likelihood. Complements VaR style risk measurement

Bullet points include: VaR style models – the UCITS equivalent to ‘internal models’ elsewhere. Back testing. An important tool for validating risk models, but not a panacea. Selection effects could be important for actively managed portfolios. Stress testing. Less focus on likelihood. Complements VaR style risk measurement

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