November 2007
Intermediate to advanced
216 pages
7h 20m
English
Content preview from The Analytics of Risk Model ValidationBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Dynamic risk analysis and risk model evaluation
Günter Schwarz*; Christoph Kessler** UBS Global Asset Management, Global Investment Solutions, Zurich, Switzerland.
Abstract
In this article, we present explorative methods for measuring investment risk. While the underlying concepts are purely quantitative, the way results are visualized and interpreted is rather qualitative but nevertheless rigorous. The methods are in particular well suited for the task of evaluating the performance of investment risk models that are used in the investment decision process of an asset manager, where the time horizon is months and not days. Such a model cannot be subjected to rigorous statistical tests as the amount of time required to achieve significance would ...
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