Questions tagged [validation]
The validation tag has no usage guidance.
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Does a 10-K/10-Q report contain an estimate of share market price? [closed]
I am trying to find a way to validate available stock market data (because I found so much disagreement between different sources) and went through a 10-K report, hoping to find any mentioning of the ...
- 109
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Validity of Bermudan Swaption's Price/Greeks
I'm implementing a lot of stochastic models on my own for fun and I'm quite puzzled about the usual procedure concerning the correctnes of Bermudan swaptions prices and greeks ? How can you tell that ...
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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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Train/test: why 80:20 split performed better than 90:10 split?
Playing with Random Forest Classifier, I am wondering what could cause in a 80:20 split the test results to perform better than in a 90:10 split?
With 2000+ data points and:
with 80:20 split, ...
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Multivariate combinatorial purged cross-validation
Combinatorial purged cross-validation (CPCV) is a technique for backtesting strategies while purging and embargoing observations in a time series. CPCV improves upon classical k-fold and walk-forward ...
- 2,980
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Sampling and cross-validating with tick, volume and dollar bars
Financial data is usually structured with time bars. Other sampling techniques include:
tick bars
volume bars
dollar bars.
These are so-called sampling techniques to better identify signals and ...
- 2,980
2
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104
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The discontinuity when applying the combinatorial purged cross-validation
In Marcos Lopez de Prado's book, Advances in financial machine learning, he recommends using the combinatorial purged cross-validation(CPCV) for backtesting. His motivation is sensible. Through the ...
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Is C(P)CV similar to boostrap?
I am writing to ask if the Combinatorial (Purged) Cross-Validation" method of Marcos Lopez de Prado's "Advances in Financial Machine Learning" book is similar to the idea of bootstrap. If not, what is ...
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247
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LGD performing model - LGD estimate vs LGD observed
LGD (Loss Given Default) performing model is developed on through the cycle sample which consists of loans in default.
What I want is to compare LGD estimate and LGD observed (realized). LGD observed ...
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326
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Berkowitz test for CVaR backtesting
I want to test CVaR using the Berkowitz test (focus on the left tail). I have a couple of doubts:
Do I need to transform only actual losses that are above CVaR;
In the first transformation, whether ...
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152
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PD validation in the low/no default setting
The topic of this question is the validation as prescribed in the Basel N ($N \ge 2$) framework. The task is given the probability of default $p_k$ for $K$ rating classes at time $t$ and the outcome ...
- 13.6k
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245
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Testing whether a process is a Wiener process [closed]
Ideally I would like links to code implementations (eg. Matlab ) or book/paper references, but I would appreciate suggestions on various methods.
Update: I was hoping to attract people who test the ...
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2
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595
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ES not elicitable
Expected Shortfall is not elicitable as some papers have pointed out. That simply means that there is no scoring function that elicits ES.
My question is, does this imply that Expected Shortfall ...
- 73
1
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1
answer
362
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Kfold cross validation: how to handle hold-out periods
I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each.
On day 1 of a fold, I enter a trade, and ...
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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 ...
- 386
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565
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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-...
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Validation of Bates SVJ model
I have just finished implementing the Bates model for pricing European call options.
To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
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