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Castermans et al., 2010 - Google Patents

An overview and framework for PD backtesting and benchmarking

Castermans et al., 2010

Document ID
5981436470721846422
Author
Castermans G
Martens D
Gestel T
Hamers B
Baesens B
Publication year
Publication venue
Journal of the Operational research society

External Links

Snippet

In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation can be considered from both a quantitative and qualitative point of view. Backtesting and benchmarking are key …
Continue reading at www.tandfonline.com (other versions)

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