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Prof. Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.

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Backtesting (also referred to in German as Rückvergleich)

The process of testing an investment strategy by using the series of past historical data. Quite a few analysts and business journalists recklessly use backtesting to predict future performance (but there is much evidence that backtesting does certainly not allow one to predict how a strategy will perform under future conditions). – In the context of rating, the comparison of estimates for default probabilities with the actual credit default that has occurred. – See calibration, rating, risk models, discriminatory power, validation, loss rate. – See Deutsche Bundesbank Monthly Report of September 2003, p. 70; BaFin Annual Report 2004, p. 89 (reliability of backtesting procedures); BaFin Annual Report 2008, p. 129 (details on institutions’ internal backtesting); BaFin Annual Report 2009, p. 146 (significant need for supervisory action at institutions with backtesting exceptions); and the respective BaFin Annual Report.

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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