11 votes
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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 ...
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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 ...
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