Abstract #302192

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JSM 2003 Abstract #302192
Activity Number: 412
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Risk Analysis
Abstract - #302192
Title: Dynamic Backtesting Methodology to Detect Flaws in Market Risk Models
Author(s): Jesus Ruiz-Mata*+ and Victor De La Penia
Companies: Columbia Univeristy and Columbia University
Address: 547 Riverside Dr., New York, NY, 10027,
Keywords: change point problem ; backtesting ; Value at Risk ; hypothesis testing
Abstract:

Using ideas from the theory of dynamical detection for a change in distribution, a new methodology to detect flaws in models to measure market risk is implemented. This methodology allows to detect big deviations from the intended purposes of the model as soon as possible after they happen. Classical and new ideas of the theory of change point and finance are used to solve this problem.

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