Questions tagged [model-risk-management]

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3answers
392 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
156 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
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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 ...