Back Testing
Back testing is a formal statistical framework that enables verification of the actual losses versus the projected losses by the VaR model. Dirty Back Testing consists of comparing the VaR estimates with the actual P&L values at the end of the time horizon. Clean back testing consists of comparing, still at the end of the time horizon, the VaR estimates with some hypothetical P&L values of the portfolio, having kept its composition unchanged. Clean back testing  means, the same portfolio is re-priced at the end of the time interval, its return is calculated and then compared with the ex-ante value of VaR. UCITS IV regulation states, the back testing should be performed with the use of daily results and for the most recent 250 business days.
Other UCITS related terms