MSCI: Backtesting year in review

Posted: 1 March 2018  |  Source: MSCI

Model backtesting is increasingly important. This review by MSCI discusses how four types of simulation model (Monte Carlo, Historical, Filtered Historical and Weighted Historical) performed over 10 indexes over the US equity and bond markets over 2017.

• Related topic:
• Capital Markets
• OpRisk & GRC
• Data Management