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Backtesting: Checking the Applied Methods

  • Hans-Peter Deutsch
Part of the Finance and Capital Markets Series book 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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Copyright information

© Hans-Peter Deutsch 2009

Authors and Affiliations

  • Hans-Peter Deutsch
    • 1
  1. 1.FrankfurtGermany

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