Back to Backtesting
Research Paper
May 1, 2005
Preview
We revisit the subject of backtesting. Backtesting was a topic of active discussion almost a decade ago, when the Basel Committee first allowed for banks to use internal models to assess capital. It is now a timely topic again, as regulation in other areas - asset management, pensions and insurance - moves toward internal risk models. We discuss some of the outstanding issues with backtesting, describe some of the bank experience with the Basel framework and speculate as to what future developments with backtesting might hold.
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