1
$\begingroup$

I came across some document that says for a PD (Probability of Default) model in order to assess its accuracy you need to first look at the Binomial Test, then the Hosmer-Lemeshow Chi-square test, then the Tolerance test etc.

The problem is this document has no references at all. Are you away of some books and/or online resources that deal with such tests and how you aggregate in order to assess the Accuracy/Discriminatory power et cetera of Credit Risk Models / PD models etc?

$\endgroup$
3
$\begingroup$

Take a look at these:

Bauke Maarse. Master Thesis: Backtesting Framework for PD, EAD and LGD (2012) https://essay.utwente.nl/61905/1/master_B._Maarse.pdf

Fábio Yasuhiro Tsukahara, Herbert Kimura, Vinicius Amorim Sobreiro, Juan Carlos Arismendi Zambrano. Validation of default probability models: A stress testing approach (2016) https://doi.org/10.1016/j.irfa.2016.06.007

Sebastian Döler. Validation Of Credit Default Probabilities Via Multiple Testing Procedures. (2010) https://arxiv.org/pdf/1006.4968.pdf

Stefan Blochwitz, Marcus Martin, Marcus Martin, Carsten S. Wehn. Statistical Approaches to PD Validation (2006). https://doi.org/10.1007/3-540-33087-9_13

Luisa Izzi, Gianluca Oricchio, Laura Vitale. Validation of Internal Credit Models. (2012) https://doi.org/10.1057/9780230361188_6

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.