Backtesting for counterparty credit risk (CCR) constitutes a major challenge for risk and trading departments in banks that use internal models or have an interest in calculating their credit default ...

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 ...

LSE academics developed an innovative methodology for estimating counterparty credit risk used by Barclays to meet regulatory requirements and calculate appropriate capital reserves. The new ...

In response to the deficiencies in bank risk management revealed following the 2008 financial crisis, one of the mandated requirements under the Basel III regulatory framework is for banks to backtest ...

With a wide range of markets to trade on our platforms, you’ll need a backtesting strategy that’s best suited for each asset class. Explore the benefits and risks of backtesting. Backtesting is a way ...