11
votes
Accepted
Risk Model Validation
You should read this regulatory guidance:
U.S.:
SR 11-7:
https://www.federalreserve.gov/supervisionreg/srletters/sr1107a1.pdf
(it is identical to FHFA AB 2013-07 Model Risk Management Guidance, OCC ...
- 9,574
6
votes
Risk Model Validation
Model Validation process usually consists of:
1. Conceptual Soundness Review (model assumptions, mathematical
representation, limitations)
Here you should try to re-derive the model from scratch and ...
- 5,096
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