Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Backtest<strong>in</strong>g Challenges<br />
VaR backtest<strong>in</strong>g: comparison of daily VaR to actual daily<br />
trad<strong>in</strong>g P&L to measure number of exceptions (i.e., when<br />
P&L exceeds VaR).<br />
What have we seen?<br />
Length of historical data: varies from months to years.<br />
Hold<strong>in</strong>g period: 1-day across firms<br />
Trad<strong>in</strong>g P&L:<br />
Dirty P&L that <strong>in</strong>cludes fee <strong>in</strong>come and commissions<br />
Clean P&L without fee <strong>in</strong>come and commissions<br />
Hypothetical P&L with fixed portfolio with no <strong>in</strong>tra-day trad<strong>in</strong>g<br />
Percentile: 95% & 99%<br />
Level of Aggregation<br />
Firm-wide level<br />
Portfolio level / Product level<br />
<strong>Advanced</strong> Concepts <strong>in</strong> Captur<strong>in</strong>g <strong>Market</strong> <strong>Risk</strong>: A Supervisory Perspective, Chicago, IL, March 14, 2011 22
Change language