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Backtesting Year in Review: A Look at 2017
Feb 19, 2018
Measures employed by risk managers and portfolio managers, such as Expected Shortfall and Value at Risk, are designed to calculate the risk level of a portfolio. But some risk models may work better than others for different asset classes and for different market conditions. Besides backtesting Value-at-Risk and Expected Shortfall, we ranked four types of simulations models available in RiskMetrics RiskManager using the MSCI Model Scorecard, an innovative tool that measures how well a model has predicted risk.
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Research authors
- Balazs Vajda, Senior Associate, MSCI Research
- Thomas Verbraken, Executive Director, MSCI Research