Dynamic risk analysis and risk model evaluation

Günter Schwarz*; Christoph Kessler** UBS Global Asset Management, Global Investment Solutions, Zurich, Switzerland.


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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