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Search results with tag "Backtesting"
Thesis Public version - Universiteit Twente
essay.utwente.nliii Colophon Title Backtesting Framework for PD, EAD and LGD Date July 16, 2012 On behalf of Rabobank International – Quantitative Risk Analytics & University of Twente
Basel Committee on Banking Supervision …
www.bis.orgBasel Committee on Banking Supervision . Consultative document . credit risk models . Sound practices for backtesting counterparty …
Backtesting Value-at-Risk Models - univ-orleans.fr
www.univ-orleans.frIntroduction Backtesting Principles Testing strategies Recommandations Backtesting Value-at-Risk Models Christophe Hurlin University of OrlØans SØminaire Validation des ModŁles Financiers. 29 Avril 2013
Backtesting Counterparty Risk: How Good is your Model?
www.iruizconsulting.comWORKING PAPER Backtesting should be done at least quarterly using the most recent twelve months of data. This yields approximately 250 daily observations.