Examples of using Back-testing in English and their translations into Slovak
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(b) the empirical approach to impact assessment, including back-testing of liquidity risk estimates;
It is validated through back-testing aimed at assessing whether specific risk is being accurately captured.
The entire trading process remains consistent and reliable, even for back-testing trading models.
(c) the trading desks have met the back-testing requirements referred to in Article 325bf(3) for the preceding year;
Credit rating methodologies have to be rigorous, systematic,continuous and subject to validation based on historical experience(including back-testing).
(n) the verification of the model's accuracy through frequent back-testing as set out in points(b) to(e) of Article 287(1);
ESMA should verify that the proposed methodologies arerigorous, systematic, continuous and subject to validation based on historical experience, including back-testing.
The verification process the institution uses to evaluate back-testing that is conducted to assess the model's accuracy.
The institution shall carry out back-testing using historical data on movements in market risk factors prior to the permission by the competent authorities in accordance with Article 277(1).
Competent authorities shall examine the institution's capability to perform back-testing on both actual and hypothetical changes in the portfolio's value.
Back-testing on hypothetical changes in the portfolio's value is based on a comparison between the portfolio's end-of-day value and, assuming unchanged positions, its value at the end of the subsequent day.
The validation ofthe internal risk-measurement models of an institution shall not be limited to back-testing and P&L attribution requirements, but shall, at a minimum, include the follow.
The back-testing of actual changes in the value of the portfolio shall be based on a comparison between the end-of-day value of the portfolio and its actual value at the end of the subsequent day, excluding fees and commissions;
(a) 12 overshootings for the value-at-risk number, calculated at a 99thpercentile one tailed-confidence internal on the basis of back-testing hypothetical changes in the portfolio's value;
A description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
Competent authorities shall monitor the appropriateness of the multiplication factor referred to in paragraph 5 andthe compliance of trading desks with the back-testing requirements referred to in paragraph 3.
(c) the trading desks have met the back-testing requirements referred to in Article 325bg(1) for the immediately preceding 250 business days;
Institutions shall notify promptly, and in any case no later than within five working days after the occurrence of an overshooting,the competent authorities of overshootings that result from their back-testing programme and provide an explanation for those overshootings.
For the purpose of paragraph 1,institutions shall count daily overshootings on the basis of back-testing hypothetical and actual changes in the portfolio's value composed of all the positions attributed to the trading desk.
The back-testing of hypothetical changes in the value of the portfolio shall be based on a comparison between the end-of-day value of the portfolio and, assuming unchanged positions, the value of the portfolio at the end of the subsequent day;
The validation of anyinternal risk-measurement model of an institution shall not be limited to back-testing and P&L attribution requirements, but shall, as a minimum, includes the following.
(b) back-testing actual changes in the portfolio's value shall be based on a comparison between the portfolio's end-of-day value and its actual value at the end of the subsequent day excluding fees, commissions, and net interest income;
Institutions shall promptly notify,the competent authorities of overshootings that result from their back-testing programme and provide an explanation for those overshootings, and in any case shall notify the competent authorities thereof no later than within five business days after the occurrence of an overshooting.
(g) the verification process the institution employs to evaluate back-testing requirements and P&L attribution requirements that are conducted in order to assess the internal risk-measurement models' accuracy.
An institution's tradingdesk shall be deemed to meet the back-testing requirements where the number of overshootings for that trading desk that occurred over the most recent 250 business days does not exceed any of the following.
The on-going validation of counterparty credit risk models, including back-testing, shall be reviewed periodically by a level of management with sufficient authority to decide the action that will be taken to address weaknesses in the models.