[其他] BACKTESTING RISK MODELS [推广有奖]

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2025Li 发表于 2026-4-20 07:14:35 |AI写论文

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BACKTESTING RISK MODELS
2014 YEAR IN REVIEW
EXECUTIVE SUMMARY
The 2014 Year in Review is a report describing the The 2014 ES research represents a significant
results of one-year backtests using four types of    development in the context of Basel regulation, since
simulation models available in RiskManager:       ES has been chosen to replace VaR to measure risk
                           (Basel Committee on Banking Supervision, 2013). For
  Monte Carlo                   a given por ...