Model validation
On modeling zero-inflated insurance data
The authors of this paper use power series distributions to develop a novel and flexible zero-inflated Bayesian methodology.
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Canabarro to join Barclays as model validation head
UK bank hires former Morgan Stanley risk analytics head
Getting in shape for the FRTB has to start now
Many banks are lagging behind when it comes to ensuring they are fit for the new trading book regime
Industry calls for US Simm model approval guidance
Isda AGM: US banks in the dark over uncleared initial margin model approvals
Op risk models still needed despite SMA, says regulator
Models “play an important role in quantifying risk”, says OCC's Beth Dugan
Testing interest rate models for Solvency II applications
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
CCAR leaves modelling teams short of time and staff
Fed stress tests are a "perfect storm of pressure"
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
Black box blues: Fed starts model validation row
"They all fall short," says one expert, as banks try to vet vendor models
Fed orders banks to break open black boxes
Banks struggling to prise information out of vendors after Fed clamps down
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
UK insurers’ internal model validation processes 'hugely inefficient'
Firms struggling with validating external models, expert judgement and risk dependencies, say experts
Hedge backtesting for model validation
Hedge backtesting for model validation