Subject: Re: Backtesting
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Thu, 24 Aug 2000 08:21:00 -0700 (PDT)

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