This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

Backtesting risk measures represents a challenge and complex methods are often required. In this paper, we propose a … new framework for backtesting that can be applied to every law invariant risk measures. We base our approach on the … formalization of the concept of level of coverage associated with the risk model as defined in the original Basel Accord. Thus, we …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk … measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by … the appealing theoretical properties of ES as a measure of risk and the poor properties of VaR. In particular, VaR fails …