Questions tagged [model-validation]
The model-validation tag has no usage guidance.
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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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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 ...
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Risk Model Validation
I have such a general question regarding risk model validation. Which tools are most often used for validation and how does the process work? Could you recommend any books that focus on this topic?
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why does Cross Validation *not* solve Backtest overfitting?
In this famous paper, Bailey and De Prado discard Cross Validation as tool to check for Backtest overfitting, on the ground that it is just an holdout method:
... If we apply the holdout method ...
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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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Model Validation Aggregation Documentation (Binomial, Hosmer-Lemeshow, Tolerance) - Credit Risk et cetera
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, ...
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How to Validate and Test a Discount curve (i.e. SOFR, LIBOR, ESTR)
Let's say an Interest Rate/Discount Curve (SOFR, ESTR, LIBOR or any other) is bootstrapped using the standard inputs and market quotes for Cash, Futures, Bonds/Swaps. What are the metrics to be looked ...
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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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Validation set on Walk Forward Analysis
When backtesting a trading strategy using Walk Forward Analysis/Optimization, I see people split each window into training and testing sets.
Suppose you want to select the best combination of MAs for ...
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Validate spread of simulated rates under the LMM
Looking for a way to validate the spread of simulated forward rates from the LMM model. Test Log-Normality for LIBOR forward rates under the Libor Market Model this post suggests using the simulated ...
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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-...