FRSGlobal, a part of Wolters Kluwer Financial Services, will be providing advanced value-at-risk (VaR) backtesting techniques within its risk solutions in 1Q11.
The in-built backtesting techniques offered by FRSGlobal will allow risk managers to benefit from the application of statistical analysis on profit and loss (P&L) data compared against VaR measures at configurable confidence levels, holding periods and sample sizes, easing the workload of risk managers and supporting them in model configuration and analysis. This advanced offering will allow banks to integrate backtesting with easy-to-use configurations.
Thomas Brouwer, head of product management, FRSGlobal, said: “Due to flaws in model accuracy and what some describe as ‘bad luck’, VaR measurement lost some credibility during the financial crisis. However, with requirements increasingly demanded by the board, senior management, auditors, regulators, investors and rating agencies, VaR measurement will most certainly be used in the future, but this time with more requirements in backtesting model accuracy.”
Brouwer continued: “As risk managers become more accountable for the risk models used, they will no longer be able to say that their VaR models incorporate too many simplifications and assumptions in order to measure the risk appropriately. More and more they will be urged to strive for VaR models that capture risks adequately and backtest models more stringently. We are proud to announce new functionality within our powerful risk solution that will help risk managers to do this.”
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