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?


1 Answer 1


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


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