MSCI: Backtesting Counterparty Credit Risk Models
The consultative document issued by the Basel Committee (Basel Committee, 2010) states that firms with permission to use internal model methods (IMM) to calculate counterparty credit risk (CCR) regulatory capital – hereafter referred to as “IMM firms” – are required to carry out on‐going validation of their counterparty credit risk exposure models. In this document ‐ following the Basel Committee’s recommendations ‐ we present our methodology to backtest the CCR models in MSCI’s RiskManager
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