Questions tagged [model-risk-management]
The model-risk-management tag has no usage guidance.
3
questions
2
votes
3answers
384 views
Backtesting of Risk models
I am wondering if there is any difference between 2 terms call model backtesting and model validation from the perspective of <...
0
votes
2answers
145 views
Book suggestions for model validation (Gini, Somers D, Kolmogorov Smirnov, Kendal's Tau, Binomial/Adjusted binomial test etc)
Any suggestions for books that cover topics such as the ones mentioned above?
The purpose is for banking, risk management, model validation of models such as credit risk and other types of risk.
27
votes
6answers
4k views
Model Validation Criteria
Let's say I have a brand new fancy model on some asset class (calibration porcedure included over a set of vanilla options) in which I truly believe I made a step forward comparing to existing ...
