MSCI: Backtesting Risk Models - Mid-Year
Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk of a portfolio. But different risk models may work better than others for different asset classes and in varying time horizons. The MSCI Model Scorecard provides an innovative tool designed to help select the best risk model in terms of Expected Shortfall (ES) and Value at Risk (VaR) predictivity.
Results for the 12-month period ending in July 2015 indicate that the Monte Carlo and filtered
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