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Enron Mail |
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
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