: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for … the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process 'closest …

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk … hedging capabilities. …

Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à …

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by … geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting …

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting …

). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found … not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR … the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient …

for VaR and TaR for each trade or other market microstructure event. We perform a backtesting procedure specifically …

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for … market incompleteness: a large proportion of risk in the CDO tranches appears to be unhedgeable. We also show that, unlike …