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The authors use clustering and machine learning techniques to analyze validation reports, providing insights to the development, implementation and maintenance of credit risk models. Read Now Download PDF
3 Σεπ 2023 · This automated tool is designed to help validate linear and logistic regression models, and it automatically completes validation processes for seven areas: data sets; model algorithm assumptions; model coefficients and performance; model stability; backtesting; sensitivity testing; and stress testing.
1 Μαρ 2022 · Volume 16, Number 1 (March 2022) In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test. Read Now Download PDF.
Journal of Risk Model Validation. Published by. Print ISSN: 1753-9579. Recent articles. Bayesian backtesting for counterparty risk models. New. Article. June 2023. Mante Zelvyte. ·....
Find the latest published papers in The Journal of Risk Model Validation + Top authors, related hot topics, the most cited papers, and related journals.
The Journal of Risk Model Validation. The paper draws a general framework for asset and default dynamics, separating the influence of the economic cycle into a component which is embedded...
The Journal of Risk Model Validation focuses on the implementation and validation of risk models, and aims to provide a greater understanding of key issues including the empirical evaluation of existing models, pitfalls in model validation and the development of new methods.
