re : backtesting naveen ,
most of these tests have been already coded . the code and the associated
spreadsheets may have been lost inn the sands of time . please , check with
vasant : it may save you some time .
vince
naveen andrews @ enron
08 / 23 / 2000 05 : 51 pm
to : vince j kaminski / hou / ect @ ect
cc :
subject : backtesting
vince ,
i am currently implementing the backtesting features into our
risk management system . i distributed the following document at our research
meeting today ; it outlines the conventional binomial test and some other
tests , including the basle regulatory test . of course , no one test is
powerful and the efficacy of these tests breakdown for low sample sizes ,
etc . if you can think of other tests to complement these , please let me know .
regards
naveen
re : backtesting
naveen ,
most of these tests have been already coded . the code and the associated
spreadsheets may have been lost inn the sands of time . please , check with
vasant : it may save you some time .
vince
naveen andrews @ enron
08 / 23 / 2000 05 : 51 pm
to : vince j kaminski / hou / ect @ ect
cc :
subject : backtesting
vince ,
i am currently implementing the backtesting features into our
risk management system . i distributed the following document at our research
meeting today ; it outlines the conventional binomial test and some other
tests , including the basle regulatory test . of course , no one test is
powerful and the efficacy of these tests breakdown for low sample sizes ,
etc . if you can think of other tests to complement these , please let me know .
regards
naveen