Overview

Join our expert panel as they explain what backtesting means for you and your firm, and why both phase 5 & 6 firms captured by Uncleared Margin rules (UMR) are now looking to implement solutions and best practices around backtesting. 

For years, Phase 5 and 6 firms captured by UMR have been expecting that the regulation’s backtesting-benchmarking requirements were to be dropped. 

Now, these firms must act, as backtesting is here to stay, as stated in the (draft) Regulatory Technical Standards (RTS) on SIMM (Standard Initial Margin Model) Validation, published by EBA (European Banking Authority)

As backtesting is mandatory as part of UMR and needs to be run each quarter from Sep 2022, we’ll discuss what this means for your firms. We’ll talk in-depth about what backtesting is, how it works, why it’s important and how you should roll out solutions to comply.

Discussion points include:

• What is backtesting and benchmarking?
• Is backtesting new?
• What are the implications for firms impacted by UMR?
• Has EBA changed their approach to model validation?
• What does RTS say about SIMM validation? Is it mandatory?
• Self-build, vendor backtesting or outsource?
• How do you use backtesting?
• Static backtest versus dynamic backtest
• When backtesting fails
• What can you expect from the regulators? How strict are they expected to be?
• Is backtesting going to change in future?