Pre-registering a Market Risk Backtest: A Frozen Gaussian Model for a Rates and Currency Portfolio, 2015–25
A frozen Gaussian VaR model, pre-registered and anchored in Bitcoin, passed coverage tests but showed clustering in 2020, 2022 and 2023, while exponentially weighted variance improved.
Featured in No. 135 on 16 Oct 2026 · on release day
- Released
- 16 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7616161
- Authors
- Rishith Sharma
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).