Beyond Exceedance - Based Backtesting of VaR Models (FRM Part 2 2025 – Book 1 – Chapter 7)
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Загружено: 2025-03-02
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Beyond Exceedance-Based Backtesting of VaR Models (FRM Part 2 | Book 1 – Chapter 7)
Prof. James Forjan explains how to go beyond simple breach/exceedance counts and validate VaR models using probability integral transforms (PITs) and goodness-of-fit tests.
You’ll learn
Exceedance/breach backtesting vs. PIT-based backtesting
Key properties: unconditional coverage and independence
How the PIT distribution (uniform on 0–1) signals conservative/aggressive risk estimates and tail issues
Goodness-of-fit tests for PITs: Kolmogorov–Smirnov (KS), Anderson–Darling (AD), Cramér–von Mises (CVM)
Practical pitfalls: heavy tails, clustering, non-IID errors, regulatory vs. internal models
Study with AnalystPrep
FRM Part I: https://analystprep.com/frm-part-1/
FRM Part 2: https://analystprep.com/frm-part-2/
More videos, mocks, and question banks: https://analystprep.com/
Suggested chapters
0:00 Intro & roadmap
1:06 Exceedance/breach backtesting refresher
3:55 PIT concept & properties (uniform, IID)
8:45 Reading PIT shapes: tails vs. center
12:55 KS test
16:45 Anderson–Darling
18:55 Cramér–von Mises
22:30 What to practice next
#FRMExam #FRMPart2 #MarketRisk #ValueAtRisk #VaR #Backtesting #RiskManagement #GARP #BaselCommittee #PIT
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