Program terminated if my type Converter throws exception

I created DataTemplate for my Type

  <DataTemplate x:Key='ConstrainEditor'>
   <ms:TextBox BorderThickness='0' Text='{Binding xxx, UpdateSourceTrigger=LostFocus, Converter={StaticResource xxx}}'/>
  </DataTemplate>

added it to PropertyGrid editors

   <ms:PropertyGrid.Editors>
    <ms:PropertyEditor PropertyName='xxx' DeclaringType='{x:Type local:Test}' EditorTemplate='{StaticResource ConstrainEditor}'/>

   </ms:PropertyGrid.Editors>

if FormatException thrown in my convertor ConvertBack, PropertyGrid doesn catch it and program terminates

  public object ConvertBack(object value, Type type, object par, CultureInfo culture)
  {

...
   variable = System.Convert.ToDouble(variable, culture);

...
  }

Unfortunately, WPF controls, including the property grid, can't catch exceptions in value converters because they aren't on the stack at this point: the value converter is being called by the WPF data binding infrastructure itself.  Rather frustratingly, you can't even catch them with the Binding.ValidatesOnExceptions property -- this only works for exceptions raised by the data source.  From MSDN (emphasis added):

The data binding engine does not catch exceptions that are thrown by a user-supplied converter. Any exception that is thrown by the ConvertBack method, or any uncaught exceptions that are thrown by methods that the ConvertBack method calls, are treated as run-time errors. Handle anticipated problems by returning DependencyProperty..::.UnsetValue.

A return value of DependencyProperty..::.UnsetValue indicates that the converter produced no value and that the binding uses the FallbackValue, if available, or the default value instead.

A return value of Binding..::.DoNothing indicates that the binding does not transfer the value or use the FallbackValue or default value.

So you have to write value converters very defensively.  What I often do is, if I can't do the conversion, I have the value converter return the original value, which WPF then fails to convert to the binding source type, resulting in an exception at the source, which I can then pick up using ValidatesOnExceptions and provide appropriate UI for.

Correct that solves the problem 

 <DataTemplate x:Key='xxxEditor'>
   <ms:TextBox BorderThickness='0'>
    <ms:TextBox.Text>
     <Binding Path="xxxxx">
      <Binding.Converter>
       <local:MyConverter/>
      </Binding.Converter>
      <Binding.ValidationRules>
       <local:MyConverter/>
      </Binding.ValidationRules>
     </Binding>
    </ms:TextBox.Text>
   </ms:TextBox>
  </DataTemplate>

Converter derives from ValidationRule

 public class MyConverter: ValidationRule, IValueConverter
 {
  public override ValidationResult Validate(object value, CultureInfo culture)
  {
   return new ValidationResult(ConvertBack(value, typeof(Constrain), null, culture) != DependencyProperty.UnsetValue,
    "Please enter valid value");
  }

  public object ConvertBack(object value, Type type, object par, CultureInfo culture)
  {
   try
   {

    .....
    return validresult;
   }
   catch (Exception)
   {
    return DependencyProperty.UnsetValue;
   }
  }