---
title: LIGHT Benchmark - Comprehensive Backtesting Framework for Market Risk Models Comparison
url: https://www.ml-quant.com/papers/ssrn/4586897/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4586897
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4586897
featured: 2023-10-04
citations: 1
topic: Trading, Microstructure & Execution
---


# LIGHT Benchmark - Comprehensive Backtesting Framework for Market Risk Models Comparison

Market Risk Backtesting: The article presents LIGHT Benchmark, a tool for comparing market risk models, including a scoring system for evaluating Value at Risk and Expected Shortfall models.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4586897
- Identifier: SSRN 4586897
- Released: 2023-07-20
- First featured: Quant Letter No. 18 (2023-10-04): https://www.ml-quant.com/issues/2023-10-04/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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