Traders look for an advantage, but most of it lies in past data. Backtesting examines how a strategy would have performed under real market conditions before any money is committed. It shows the ...

This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting. Due to the upcoming Fundamental Review of the Trading Book (FRTB), ...

Backtesting counterparty credit risk (CCR) models is anything but simple. Such backtesting is becoming increasingly important in the financial industry since both the CCR capital charge and credit ...