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Backtesting Year in Review - A look at 2016
Mar 3, 2017
For the year ending December 31, 2016, we analyzed the 12-month risk forecast accuracy of four categories of simulation models available in RiskMetrics RiskManager: Monte Carlo, historical, filtered historical and weighted historical.
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Research authors
- Carlo Acerbi, Managing Director and Head of Risk Management Research
- Thomas Verbraken, Executive Director, MSCI Research
- Balazs Szekely