PT  - JOURNAL ARTICLE
AU  - John F.O. Bilson
AU  - Andrew Kumiega
AU  - Ben Van Vliet
TI  - Trading Model Uncertainty and Statistical Process Control
AID  - 10.3905/jot.2010.5.3.039
DP  - 2010 Jun 30
TA  - The Journal of Trading
PG  - 39--50
VI  - 5
IP  - 3
4099  - https://pm-research.com/content/5/3/39.short
4100  - https://pm-research.com/content/5/3/39.full
AB  - This article examines the use of statistical process control (SPC) as a methodology for monitoring trading model uncertainty. Traditional quantitative risk management methods do not incorporate the inherent process control problems financial modeling. The reference adaptations apply to the a priori model design process and a posteriori model control. To build and monitor trading models, SPC can be used in conjunction with classical financial metrics to better control market risk.TOPICS: Statistical methods, VAR and use of alternative risk measures of trading risk, exchanges/markets/clearinghouses