Association Luxembourgeoise
de Risk ManagementLuxembourg Association for Risk Management

VaR Models backtesting - Outcomes of ALRiM practitioner forum

In a context of increasingly frequent market disruptions, users and regulators are probing whether risk models remain valid and useful for portfolio and risk management. Backtesting models is one of the tools instrumental in helping answer such questions; so much that regulators have made it mandatory. ALRiM has been spearheading industry efforts to address such topics through guidelines and practitionner round tables as one summed in the attached document.