Journal of Risk Model Validation

Risk.net

Model validation: theory, practice and perspectives

Patrick Hénaff, Claude Martini

ABSTRACT

In July 2009, the Basel Committee on Banking Supervision issued a directive requiring that financial institutions quantify model risk. The purpose of this paper is to summarize the development of the notion of "model risk" and to present the current state of the art, before outlining open issues that must be resolved in order to define a consistent framework for measuring this risk.

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