QuantFinanceToGoPricing

Testing Risk Models and Stress

Backtests of value at risk beyond the hit count and the Kupiec test of module 18: the Christoffersen test for hits that cluster, peaks over a threshold, and historical and hypothetical stress scenarios for a portfolio and its surplus.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectThree value at risk models judged on later days, and one stress scenarioOne small program on the topic, to run and to extend step by step.

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