2014
DOI: 10.21314/jcr.2014.173
|View full text |Cite
|
Sign up to set email alerts
|

Backtesting counterparty risk: how good is your model?

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
2
1

Citation Types

0
7
0

Year Published

2016
2016
2023
2023

Publication Types

Select...
5
1

Relationship

0
6

Authors

Journals

citations
Cited by 10 publications
(7 citation statements)
references
References 1 publication
0
7
0
Order By: Relevance
“…The research presented in this paper can be extended in a number of ways, such as considering the evolution of risk factors other than exchange rates. Another topic worthy of investigation is the enhancement of the backtesting framework presented by Ruiz (2014), by considering statistical tests similar to the ones presented by Berkowitz (2001) and Amisano and Giacomini (2007). Finally, an interesting research direction is the development of an agent-based simulation model with heterogeneous modeling approaches, with regards to the RFE models.…”
Section: Discussionmentioning
confidence: 99%
See 3 more Smart Citations
“…The research presented in this paper can be extended in a number of ways, such as considering the evolution of risk factors other than exchange rates. Another topic worthy of investigation is the enhancement of the backtesting framework presented by Ruiz (2014), by considering statistical tests similar to the ones presented by Berkowitz (2001) and Amisano and Giacomini (2007). Finally, an interesting research direction is the development of an agent-based simulation model with heterogeneous modeling approaches, with regards to the RFE models.…”
Section: Discussionmentioning
confidence: 99%
“…In this sub-section, we give a brief overview of a framework for the backtesting of RFE models. For a more detailed description, the reader is referred to Ruiz (2014). Backtesting is the process of comparing the distributions given by the RFE models with the realized history of the corresponding risk factors.…”
Section: Backtestingmentioning
confidence: 99%
See 2 more Smart Citations
“…From backtesting, one may find a so-called PFE-limit implied volatility of a model, by which, combined with a given budget, a bank's risk preference can be computed. Ruiz (2012) called the model that describes the evolution of the underlying market factors the risk factor evolution (RFE) model, on which the backtesting is done periodically. The related probability measure is called the RFE measure.…”
Section: Calibration and Backtestingmentioning
confidence: 99%