Backtesting Year in Review - A look at 2016

categories: Portfolio Management Analytics, Risk Management Analytics, Factor and Risk Modeling, Equities, Fixed Income, Multi-Asset Class, Research Paper, ACERBI Carlo, VERBRAKEN Thomas, SZEKELY Balazs

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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