Αποτελέσματα Αναζήτησης
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 2022 · Volume 16, Number 3 (September 2022) The authors investigate the influence of model risk on pricing life products and demonstrate that classical Lee-Carter-type models can be less accurate than the proposed model. Read Now Download PDF.
4 Δεκ 2022 · Volume 16, Number 4 (December 2022) The authors validate 12 of the most representative sample-balancing methods used for credit-scoring models, finding that a combined SMOTE and Editor Nearest Neighbor method is optimal. Read Now Download PDF.
19 Μαρ 2019 · In this paper, we discuss how model validation principles and methods developed in systems engineering research are applicable across a variety of modeling methodologies and domain areas for the reduction of model risk.
8 Μαΐ 2017 · In this paper series, we review common modeling issues and validation techniques used in the market risk management area. We focus on the pricing, hedging, value at risk (VaR), and counterparty credit risk (CCR) models.
It is well written and explains the nature of model risks in finance, introduces a framework for risk model validation and provides further illustrations for specific type of risks and risk measurement approaches.
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.
