Backtest Market-to-Market BM2M

We are able to classify and analyse historic flow in a backtesting environment. The Auto-Classification Summary is applied to historical csv data and prints out yield profiles with each counterparty assigned a management strategy. The resulting yield profiles can be analysed in the same way as PROD data.

This allows us to understand the underlying behaviours of the flow, define optimal risk management strategies and operate at the risk level most appropriate to your business. We will be guided by you as to how you wish to approach the early configuration inline with your business goals and also which flow the system manages.