  Credibility theory provides tools to obtain better estimates by combining
individual data with sample information. We apply the Credibility theory to a
Uniform distribution that is used in testing the reliability of forecasting an
interest rate for long term horizons. Such empirical exercise is asked by
Regulators (CRR, 2013) in validating an Internal Model Method for Counterparty
Credit Risk. The main results is that risk managers consider more reliable the
output of a test with limited sample size when the Credibility is applied to
define a confidence interval.

Statistical Finance;Risk Management