论文标题
瓷砖测试进行回测风险评估
Tile test for back-testing risk evaluation
论文作者
论文摘要
引入了用于衡量金融市场风险估计准确性的新测试。它基于EX Post Post的概率积分转换（PIT），使用了风险估计的前概率分布实现的回报。如果预测是正确的，那么我们称为探针的凹坑的结果应为具有均匀分布的IID随机变量。新测试测量了整个样本上平铺的概率数量的差异。使用不同的瓷砖可以检查风险方法论的动态和分布方面。新的测试非常强大，需要引入新的基准测试，以考虑一些风险估计引起的微妙平均恢复效应。该测试应用于2个数据集的1和10天的风险范围。结果明确表明，正确捕获金融市场动态的重要性，并排除了一些广泛使用的风险方法。
A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns using the ex ante probability distributions underlying the risk estimation. If the forecast is correct, the result of the PIT, that we called probtile, should be an iid random variable with a uniform distribution. The new test measures the variance of the number of probtiles in a tiling over the whole sample. Using different tilings allow to check the dynamic and the distributional aspect of risk methodologies. The new test is very powerful, and new benchmarks need to be introduced to take into account subtle mean reversion effects induced by some risk estimations. The test is applied on 2 data sets for risk horizons of 1 and 10 days. The results show unambiguously the importance of capturing correctly the dynamic of the financial market, and exclude some broadly used risk methodologies.
