4 votes

Model Validation Criteria

If the model you're talking about is something that prices and risk manages an exotic (since you mentioned you calibrated to vanillas), I'd like to see: How does the evolution of the volatility ...
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  • 1,662
4 votes

Backtesting of Risk models

Just adding the time/frequency dimension difference to what was said above: model backtesting is a model performance technique which takes place on an ongoing basis (in particular for VaR, breaches ...
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  • 5,038
2 votes

Backtesting of Risk models

"Validation" means that someone analyses the model and pronounces it fit to be used, usually subject to conditions such as ongoing performance monitoring, and restrictions on input. Good ...
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2 votes

Backtesting of Risk models

In my opinion model validation is broader than model backtesting. During model backtesting you test model performance on data that has been realised using only the data you could have used when using ...
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1 vote
Accepted

Book suggestions for model validation (Gini, Somers D, Kolmogorov Smirnov, Kendal's Tau, Binomial/Adjusted binomial test etc)

Risk Model Validation: A practical guide to addressing the key questions by Christian Meyer and Peter Quell. The Validation of Risk Models: A Handbook for Practitioners by Sergio Scandizzo.
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1 vote

Book suggestions for model validation (Gini, Somers D, Kolmogorov Smirnov, Kendal's Tau, Binomial/Adjusted binomial test etc)

The Basel working paper contains quite a comprehensive summary of the types of metrics you are looking for: https://www.bis.org/publ/bcbs_wp14.pdf
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