MSCI: Backtesting Risk Models

In this half-year update of the Backtesting Review, MSCI began by analyzing how each of four types of simulation models available in RiskMetrics RiskManager—Monte Carlo, historical, filtered historical and weighted historical— performed over the year ended June 30, 2016. These models were tested on 10 indexes, representing different segments of the U.S. and global equity and bond markets.

Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk level of

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