This paper presents a backtesting framework for a probability of default (PD) model, assuming that the latter is calibrated to both point-in-time (PIT) and through-the-cycle (TTC) levels. We claim ...

In this study, different value-at-risk (VaR) models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy. The ...

Backtesting is an essential part of the trading and investment process as it reveals how a strategy would perform under real-market conditions. It enables traders and analysts to assess, through ...

Backtesting is the process of applying a trading strategy to historical price data to see how it would have performed in the past. It allows traders to test their ideas and plans without using real ...

In the constantly changing world of cryptocurrency trading, artificial intelligence (AI) has emerged as one of the strongest tools available to traders who demand data-informed decisions. But an AI ...

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 ...

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The new integrated toolkit enables traders to historically validate strategies within specific market regimes, a capability once reserved for elite institutions Option Circle’s new AI-powered ...

The European Market Infrastructure Regulation (EMIR) 3 Refit comprises many moving parts. One notable element is a process revision for the validation of the models used to calculate initial margins.