BACKTESTING RISK MODELS
2014 YEAR IN REVIEW
EXECUTIVE SUMMARY
The 2014 Year in Review is a report describing the    The 2014 ES research represents a significant
results of one-year backtests using four types of     development in the context of Basel regulation, since
simulation models available in RiskManager:        ES has been chosen to replace VaR to measure risk
                             (Basel Committee on Banking Supervision, 2013). For
  Monte Carlo                      a given por ...