Search the World's Largest Database of Information Science & Technology Terms & Definitions
InfInfoScipedia LogoScipedia
A Free Service of IGI Global Publishing House
Below please find a list of definitions for the term that
you selected from multiple scholarly research resources.

What is Backtesting

Chapter 79
Encyclopedia of Business Analytics and Optimization
In order to validate (assess for presence of evidence of model misspecification) risk measures, for example Value-at-Risk (VaR), a systematic comparison is performed between the actual portfolio profit and loss (P&L) observations and the predicted VaR at the respective confidence level. If the actual P&L observations considerably exceed the VaR forecast, this means that the risk measure model underestimates the (market) risk. The opposite situation signals for risk overestimation.
Published in Chapter:
Estimating Risk with Copulas
Iva Mihaylova (University of St. Gallen, Switzerland)
Copyright: © 2014 |Pages: 14
DOI: 10.4018/978-1-4666-5202-6.ch079
Full Text Chapter Download: US $37.50 Add to Cart
More Results
Chapter 115
Portfolio Optimization for the Indian Stock Market
It is the general method for seeing how well a strategy or model would have done ex-post. Backtesting assesses the viability of a trading strategy by discovering how it would play out using historical data. If backtesting works, traders and analysts may have the confidence to employ it gone forward.
Published in Chapter: Portfolio Optimization for the Indian Stock Market; From: Encyclopedia of Data Science and Machine Learning
Full Text Chapter Download: US $37.50 Add to Cart
eContent Pro Discount Banner
InfoSci OnDemandECP Editorial ServicesAGOSR