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 ...

The financial services industry delivers leading-edge quantitative trading and risk management strategies using state-of-the-art computational tools and techniques including mathematical and ...

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 ...

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 ...

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 ...