Abstract
Backtesting arises in several contexts in financial applications, for example as the need to test the effectiveness of a particular trading strategy by performing a backtest over a significant period, or the need to backtest a VaR model by comparing the distribution of realized profit and loss (PnL) to the values predicted by the VaR model.
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© 2015 Roland Lichters, Roland Stamm, Donal Gallagher
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Lichters, R., Stamm, R., Gallagher, D. (2015). Backtesting. In: Modern Derivatives Pricing and Credit Exposure Analysis. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137494849_25
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DOI: https://doi.org/10.1057/9781137494849_25
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-49483-2
Online ISBN: 978-1-137-49484-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)