Questions tagged [model-risk-management]

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2 votes
3 answers
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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 <...
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2 answers
201 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.
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6 answers
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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 ...
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