A Review of Backtesting and Backtesting ProceduresDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Finance - 23 pages |
Common terms and phrases
accuracy accurate VaR measure accurate VaR model Adam Copeland Ana Aizcorbe Andreas Lehnert Andrew Cohen April assess Athanasios Orphanides August average loss Backtesting Procedures Banking Industry Basel II Berger Brian Sack Christoffersen contingency table coverage and independence Covitz current regulatory framework December detect Economics Discussion Series Egon Zakrajsek Empirical estimate example February function based backtests Hao Zhou Historical Simulation hit function hit sequence hit series inaccurate increase independence property independence test Inflation Interest Rates It+1 January joint test July Kevin Moore Kupiec Test loss function based market risk capital Markov test Monetary Policy November October Pearson's Q test percentile POF test portfolio risk power of Pearson's Prices profit or loss profits and losses quantile function quantiles reported VaR measure risk management systematic under reporting Takeshi Kimura test of unconditional tests that examine three risk models Tim Bollerslev unconditional coverage property unit interval Value-at-Risk VaRt violation occurs volatility Wayne Passmore