backtesting Archives - Ads For Marketing Campaigns

Backtesting expected shortfall: mission accomplished?

Posted by John GreenMarketing & Developmentaccomplished, backtesting, expected, mission, shortfallPosted on September 3, 2019

A rigorous backtest for ES cannot exist, but a good approximation might do the job

Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules

Posted by Shannon JenkinsMarketing & DevelopmentAcerbi, backtesting, FRTB’s, patchwork, Podcast, rulesPosted on August 30, 2019

Banque Pictet quant explains a new backtesting method for expected shortfall