Backtesting Risk Models - August 2017

categories: Portfolio Management Analytics, Risk Management Analytics, Factor and Risk Modeling, Risk Management, Equities, Fixed Income, Multi-Asset Class, Research Paper

In this semi-annual update of the MSCI Model Backtesting Review, we began by analyzing how four types of simulation models available in RiskMetrics RiskManager — Monte Carlo, historical, filtered historical and weighted historical — performed over the past 12 months, ended June 30, 2017.


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