Social Sharing
Extended Viewer
Backtesting Risk Models - August 2016
Aug 26, 2016
For the July 2016 backtesting review, MSCI began by analyzing how each of four types of simulation models available in RiskMetrics RiskManager—Monte Carlo, historical, filtered historical and weighted historical—performed over the year ended June 30, 2016.
Download
Research authors
- Carlo Acerbi, Managing Director and Head of Risk Management Research
- Thomas Verbraken, Executive Director, MSCI Research
- Balazs Szekely