Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Year of publication: |
2022
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Authors: | Jacobs, Michael <Jr.> |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 16.2022, 3, p. 73-111
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Subject: | probability of default (PD) | stress testing | Current Expected Credit Loss (CECL) | credit risk | model validation | model risk | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Wahrscheinlichkeitsrechnung | Probability theory | Modellierung | Scientific modelling | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Risikomaß | Risk measure |
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Jacobs, Michael <Jr.>, (2015)
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Validation of corporate probability of default models considering alternative use cases
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Model and estimation risk in credit risk stress tests
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