Social Sharing
Extended Viewer
Backtesting Risk Models - Mid-Year
Sep 2, 2015
Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk of a portfolio. But different risk models may work better than others for different asset classes and in varying time horizons. The MSCI Model Scorecard provides an innovative tool designed to help select the best risk model in terms of Expected Shortfall (ES) and Value at Risk (VaR) predictivity.
Download
Research authors
- Carlo Acerbi, Managing Director and Head of Risk Management Research
- Thomas Verbraken, Executive Director, MSCI Research
- Balazs Szekely