Models need longer datasets to handle economic cycles – research

Decades, not years, of credit losses required for accurate risk modelling, argues expert


Macroeconomic models used for forecasting and stress-testing frequently rely on too-short datasets, and should be backtested against much longer sets of economic data – measured not in months or years but in economic cycles, according to upcoming research.

In a paper due to be published in the Journal of Risk Model Validation in 2020, Joseph Breeden argues risk modellers use methods that often underestimate the level of correlation in data. The higher the correlation, the less useful the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: