Search Results - subject:"Backtesting"

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross …

Persistent link: https://www.econbiz.de/10011990919

Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models

Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17

results than the Normal distribution function. The Monte Carlo simulation method was used for backtesting the Conditional …

Persistent link: https://www.econbiz.de/10012137016

Risk factor evolution for counterparty credit risk under a hidden Markov model

Anagnostou, Ioannis; Kandhai, Drona - In: Risks : open access journal 7 (2019) 2/66, pp. 1-22

approach. A numerical study is carried out and backtesting results for a number of exchange rates are presented. The impact of …

Persistent link: https://www.econbiz.de/10012018919

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu, Denisa; Hurlin, Christophe; Leymarie, Jérémy; … - 2019

This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it …

Persistent link: https://www.econbiz.de/10012101182

Time-series momentum: A Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

Persistent link: https://www.econbiz.de/10012017583

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Barendse, Sander; Kole, Erik; van Dijk, Dick - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

Persistent link: https://www.econbiz.de/10012114811

Risk factor evolution for counterparty credit risk under a hidden Markov model

Anagnostou, Ioannis; Kandhai, Drona - In: Risks 7 (2019) 2, pp. 1-22

approach. A numerical study is carried out and backtesting results for a number of exchange rates are presented. The impact of …

Persistent link: https://www.econbiz.de/10013200484

Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models

Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences 9 (2019) 2, pp. 1-17

results than the Normal distribution function. The Monte Carlo simulation method was used for backtesting the Conditional …

Persistent link: https://www.econbiz.de/10012612077

Revisión técnica del Estudio de Sostenibilidad del Régimen de Invalidez, Vejez y Muerte Costarricense

Víquez, Juan J.; Robles, Edgar - In: Revista de ciencias económicas 37 (2019) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10012491047

Evaluation of backtesting on risk models based on data envelopment analysis

Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of operational risk 17 (2022) 1, pp. 51-79

Persistent link: https://www.econbiz.de/10014546256