Questions tagged [model-validation]

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2
votes
3answers
248 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
40 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.
12
votes
3answers
994 views

Validating a Credit Scoring Model without Data

Fellow Quants, Suppose you have a credit scoring model that is developed without the aid of statistics, because (unfortunately) there is no historical default/loss data in your portfolio. The ...
0
votes
0answers
399 views

Examples for the option model validation

When implementing a code for the new model, even if it provides sensible price, it is still a good idea to compare it against some benchmarks, even in the special case of constant volatility Black-...
27
votes
6answers
3k 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 ...