Backtesting is usually conducted on a short horizon, such as daily returns. Explain why.

Question:

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

See More Books

Question Posted: May 03, 2016 02:14 AM

See More Questions

Why is online analytical processing usually conducted on warehoused data or dimensional data bases rather than on data in transactional databases?
Explain why backtesting and capital adequacy lead to diametrically opposed choices for the confidence level and horizon.
How is stress testing different from backtesting when evaluating risk models?
Consider constant marginal abatement cost for two firms: (a) Determine the optimal allocation for both firms when the damage function is convex, and when it is linear. (b) Is it possible to achieve...
An inexperienced bookkeeper prepared the following trial balance. Prepare a correct trial balance, assuming all account balances arenormal. KWUN COMPANY Trial Balance December 31, 2011 Debit Credit...
What work practices can be standardized? Wt-1
Have you ever had a formal performance appraisal with a supervisor? Describe the interaction, and consider how it made you feel before, during, and after. Have you ever discussed your performance in...
At December 31, 2012, before any year-end adjustments, the Accounts Receivable balance of Stenners Electronics is $180,000. The Allowance for Doubtful Accounts has an $11,600 credit balance. Stenners...
Artificial intelligence Match each item in the value chain, 1 through 7, with an example of an artificial intelligence initiative, choosing from items a through g. Value Chain 1. Research and...
The following data was taken from the production and accounting records for Casuccio Manufacturing, Inc. Required a. Calculate the following ratios for 2023, 2022, and 2021: 1. Sales to total assets....
Say that a bank reports 9 exceptions to its 99 percent daily VAR over the last year (252 days). Give two interpretations of this observation.
Why is it useful to consider not only unconditional coverage but also conditional coverage?
(A) Write a balanced equation to represent the reaction of mercury(II) sulfide and calcium oxide to produce calcium sulfide, calcium sulfate, and mercury metal. (B) Write a balanced equation for the...
Stefney Christian Date: 06/26/2023 To: From: New England Patriot Subject: Analysis of Aircraft Purchase vs. Chartering Decision I've done a thorough analysis of the decision to buy or charter a plane...
The Giovonis' monthly income is $9000. The have 14 remaining payments of $269 on a new car and 16 payments of $70 remaining on their living room furniture. The taxes and insurance on the house are...
2. Determine the following inverse z-transforms using partial fraction expansion method. a. The sequence is right sided (causal). 1 z 14z 2 + 4z-3 X(z) = 11 1 Z-1 13 + 2-2 8 1 -3 4Z b. The sequence...
(4 pts) 1. Find all vertical and horizontal asymptotes of the function f(x) (You do NOT need to show the limit work) 2x2-2 x+4x+3
Cherboneau Novelties produces drink coasters (among many other products). During the current year (year 0), the company sold 532,000 units (packages of 6 coasters). In the coming year (year 1), the...
In the last decade, the member states of the European Union (EU) agreed to reduce tobacco consumption in their countries. This agreement was followed by a steady increase in the taxes on tobacco and,...
All of the following assets can be depreciated, except: (a) A bulldozer (b) A copper mine (c) A surgical robot (d) A conveyor belt
Three mutually exclusive project alternatives are being evaluated. The estimated cash flows for each alternative are given below. The MARR is 15% per year. At the conclusion of its useful life the...
Create a spreadsheet to solve Example 6-11. What would the capital investment amount for pump SP240 have to be such that the firm would be indifferent as to which pump model is selected?
Using the data from Problem 6-7, create a spreadsheet to identify the best design using an IRR analysis. In problem 6-7 Project A Project B Project C Investment Project life $6,000 $8,000 $9,000 10...
Diplomatic Security Service provides Airport Transportation and Surveillance Service to Foreign Diplomats in Guyana. The company has two support departments - Information Systems and Equipment...
Q1: A disparity of bargaining power between the parties to a contract may result in unfair terms but a court is not likely to consider the contract unconscionable. Group of answer choices a. True b....
Life Tool Manufacturing has a system in place to recall products that prove to be dangerous at some time after manufacture and distribution. This represents which element of the due care theory?...

Backtesting is usually conducted on a short horizon, such as daily returns. Explain why.

Question:

Step by Step Answer:

VAR measures assume that the current portfolio is frozen over the horizo...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

Students also viewed these Finance questions