Examples of using Back-testing in English and their translations into Slovenian
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Financial
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Medicine
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Computer
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Official/political
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Programming
Examination of compliance with the back-testing obligation.
It is validated through back-testing aimed at assessing whether specific risk is being accurately captured.
That's right- LIVE trading,not paper trading or"back-testing"!
Internal model validation shall not be limited to back-testing, but shall, at a minimum, also include the following:.
(g) verification of the model's accuracy through frequent back-testing;
Internal model validation shall not be limited to back-testing, but shall, at a minimum, also include the following:(a).
ESMA should verify that the proposed methodologies are rigorous, systematic, continuous and subject to validation based on historical experience,including back-testing.
(c) the trading desks have met the back-testing requirements referred to in Article 325bf(3) for the preceding year;
The entire trading process remains consistent and reliable,even for back-testing trading models.
A description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
Is rigorous, continuous and capable of validation including, where appropriate, back-testing against available transaction data;
A description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
The competent authorities shall requireinstitutions to take appropriate measures to improve their back-testing programme if deemed deficient.
That back-testing shall consider a number of distinct prediction time horizons out to at least one year, over a range of various initialisation dates and covering a wide range of market conditions;
(n) the verification of the model's accuracy through frequent back-testing as set out in points(b) to(e) of Article 287(1);
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 competent authoritiesshall 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.
Competent authorities shall examine the institution's capability to perform back-testing on both actual and hypothetical changes in the portfolio's value.
The back-testing has to provide for each business day a comparison of the one-day value-at-risk measure generated by the institution's model for the portfolio's end-of-day positions to the one-day change of the portfolio's value by the end of the subsequent business day.U.
The institutions shall count daily overshootings on the basis of back-testing on hypothetical and actual changes in the portfolio's value.
An institution shall conduct back-testing that is designed to test the key assumptions of the CCR exposure model and the relevant risk measures, including the modelled relationship between tenors of the same risk factor, and the modelled relationships between risk factors;
Competent authorities shall require theinstitutions to calculate overshootings consistently on the basis of back-testing on hypothetical changes in the portfolio 's value.
Institutions shall count daily overshootings on the basis of back-testing of the hypothetical and actual changes in the value of the portfolio composed of all the positions assigned to the trading desk.
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.
The competent authorities shall require institutions to perform back-testing on hypothetical(using changes in portfolio value that would occur were end-of-day positions to remain unchanged) outcomes.';
(d) 30 overshootings for the value-at-risk number, calculated at a 97,5thpercentile one tailed-confidence internal on the basis of back-testing actual changes in the portfolio's value;
At a minimum,competent authorities shall require institutions to perform back-testing on hypothetical( using changes in portfolio value that would occur were end-of-day positions to remain unchanged) outcomes.".
( b) In point 4, the second paragraph is replaced by the following:« Competent authoritiesshall examine the institution 's capability to perform back-testing on both actual and hypothetical changes in the portfolio 's value.
( iii) a description of stress testing applied to the sub-portfolio;( iv)a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;