{"id":425571,"date":"2018-09-12T12:57:04","date_gmt":"2018-09-12T12:57:04","guid":{"rendered":"https:\/\/acemystudy.com\/?p=1452"},"modified":"2018-10-24T08:47:33","modified_gmt":"2018-10-24T08:47:33","slug":"the-role-of-backtesting-of-var-models","status":"publish","type":"post","link":"https:\/\/www.benedictsol.com\/blogs\/the-role-of-backtesting-of-var-models\/","title":{"rendered":"The Role of Backtesting of VaR Models"},"content":{"rendered":"<h2>The Role of Backtesting of VaR Models<\/h2>\n<p>1. Discuss, in approximately 1200 words, the role of backtesting of<br \/>\nVaR models in portfolio management, and the associated limitations<br \/>\nof VaR models.<br \/>\n[30 marks]<br \/>\nA useful reference for backtesting is Lucas, A., (2001), \u201cEvaluating the<br \/>\nBasle Guidelines for Backtesting Banks\u2019 Internal Risk Management<br \/>\nModels,\u201d Journal of Money, Credit and Banking, Vol. 33, No. 3. In<br \/>\nparticular, one should read p826-831 and the concluding remarks.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The Role of Backtesting of VaR Models 1. Discuss, in approximately 1200 words, the role of backtesting of VaR models in portfolio management, and the associated limitations of VaR models. [30 marks] A useful reference for backtesting is Lucas, A., <a href=\"https:\/\/www.benedictsol.com\/blogs\/the-role-of-backtesting-of-var-models\/\" class=\"read-more\">Read More &#8230;<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-425571","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/425571","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/comments?post=425571"}],"version-history":[{"count":0,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/425571\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/media?parent=425571"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/categories?post=425571"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/tags?post=425571"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}