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Top News In Backtesting Features Today - Breaking & Trending Today

Wells Fargo records highest number of loss-making days in six years

On average, the eight top US banks reported 29 loss-making days in Q3 ....

Wells Fargo , San Francisco Based , State Street , Bny Mellon , Morgan Stanley , Bank Of America , Goldman Sachs , Nited States Us , Market Risk , Isk Quantum ,

Evaluation of backtesting techniques on risk models with different horizons - Journal of Risk Model Validation

In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and ....

Monte Carlo , Financial Times Stock Exchange , Value At Risk Var , Market Risk Modelling , Model Validation , Original Research ,

Bank of America, BNY Mellon incur VAR breaches

The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier ....

United States , Bank Of America , Bny Mellon , Nited States Us , Alue At Risk Var , Capital Requirements , Market Risk , Market Volatility , Isk Quantum ,

US unit of BBVA on the brink of a VAR breach in Q1

Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies ....

Bank Of Montreal Bmo , Credit Suisse , Rbc Capital Markets , Nited States Us , Regional Banks , Value At Risk Var , Market Risk , Market Risk Modelling , Model Risk , Isk Quantum , வங்கி ஆஃப் மான்ட்ரியல் பமோ ,

Fake data can help backtesters, up to a point

Risk.net
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
Quant investors often complain they have only a single version of history against which to test their ideas.
One way to get round the problem has been to make history up. Quants have done that for a long time already – using bootstrapping or Monte Carlo simulations to create alternative time series data for the backtests they run.
A new idea, though, is to employ machine learning techniques to invent wholly artificial data. Quants are experimenting with these models and say they can produce data indistinguishable in some cases from the real thing. ....

Monte Carlo , Financial Markets , Historical Data , Monte Carlo Simulation , Machine Learning , Synthetic Data , Sur Take , Quant Investing , மான்டே கார்லோ ,