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Derivatives and Internal Models pp 451–458Cite as

Palgrave Macmillan

Backtesting: Checking the Applied Methods

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Part of the book series: Finance and Capital Markets Series ((FCMS))

Abstract

A comparison of the value at risk figures delivered by a risk management system with the actual value changes of a portfolio allows an estimation of the qualitative and quantitative “goodness” of the risk model. Comparisons of realized values with previously calculated values are called backtesting procedures.

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Authors
  1. Hans-Peter Deutsch
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© 2002 Hans-Peter Deutsch

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Deutsch, HP. (2002). Backtesting: Checking the Applied Methods. In: Derivatives and Internal Models. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230502109_26

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