Counterparty Credit Risk Backtesting – Ensuring the Relevance of Your Models

Read the SS&C Algorithmics whitepaper to answer questions about Counterparty Credit Risk such as do the projected counterparty exposures and the resultant RWA and regulatory capital reserves accurately reflect my portfolio’s counterparty credit risk? Are the various models utilized a good representation of the real-world dynamics? Does my CCR framework fully capture the risk profile of the portfolio?