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 ...

James Chen, CMT is an expert trader, investment adviser, and global market strategist. Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician ...

Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules last September and ...

Chip Stapleton is a Series 7 and Series 66 license holder, CFA Level 1 exam holder, and currently holds a Life, Accident, and Health License in Indiana. He has 8 years experience in finance, from ...

GuruFocus launched the new Backtesting feature within the All-in-One Guru Screener on June 20, allowing users to model an investing strategy's performance relative to the Standard & Poor's 500 index, ...

Beyond the artificial intelligence (AI) stock frenzy, credit investors are adapting to AI and integrating growing volumes of financial factor data into their research. Very soon, AI systems will learn ...

Robust backtesting can give useful insights on how a trading strategy might perform in the future. The use of tick data for backtesting covers many different strategies, whether they are high ...

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 ...

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 ...

Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting ...