Model back testing and Benchmarking


Regulators such as the Fed,PRA can require the back testing and benchmarking of models used for Risk and Margin such as SIMM.
Equally, this could be required by internal policies such from model validation or internal audit.

Our experience has covered model back testing e.g. for VAR and more recently Initial Margin Model Back testing design and operation.

We have specific understanding and practical experience of phase 1 firm back testing and benchmarking for regulatory initial margin using SIMM.
We can help educate, specify, design and execute back testing and benchmarking for your models.