Backtesting Year in Review: A Look at 2017
categories: Americas, EMEAI, Risk Management Analytics, Factor and Risk Modeling, Risk Management, Asia Pacific, Asset Owners, Hedge Funds, Equities, Fixed Income, Research Paper, VERBRAKEN Thomas, Asset Managers (Quant or Fundamental), Banks, VAJDA Balázs
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.