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- W2419210391 abstract "Nine years ago, the Basel Committee released the Market Risk Amendment (MRA) to the 1988 Capital Accord. The MRA allows banks to assess the risk of their trading operation, and whether the bank has adequate capital to cover this risk, using an internal risk model. While the MRA is flexible regarding the specifics of the internal models themselves, it is quite specific as to how the internal model should be validated, and to how failures of this validation should affect the bank’s required capital. Validation, or backtesting, was consequently an active research area in the mid-1990s." @default.
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- W2419210391 date "2005-01-01" @default.
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- W2419210391 title "Back to Backtesting" @default.
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