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Backtesting Year in Review - A Look at 2015
Feb 12, 2016
For this year’s 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 December 31, 2015.
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Research authors
- Carlo Acerbi, Managing Director and Head of Risk Management Research
- Thomas Verbraken, Executive Director, MSCI Research
- Balazs Szekely