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Topic 8: Capital Reserves for Market Risk – Part 5: Statistical Backtests
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Financial Risk Management (2025) - Topic 8: Capital Reserves for Market Risk – Part 5: Statistical Backtests

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This course includes

  • 13.5 hours of video
  • Certificate of completion
  • Access on mobile and TV

Summary

Full Transcript

Presents backtesting tools for assessing predictive accuracy of VaR and ES models, including exceptions and traffic-light rules.

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