Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
Henry Penikas
| Year of publication: |
2023
|
|---|---|
| Authors: | Penikas, Henry |
| Published in: |
Risk management : an international journal. - Berlin : Springer Nature Limited, ISSN 1743-4637, ZDB-ID 2180561-1. - Vol. 25.2023, 4, Art.-No. 24, p. 1-25
|
| Subject: | AUROC | Basel II | Brier skill score | CLAR | IRB | Loss shortfall | Traffic light approach | Validation | Finanzdienstleistung | Financial services | Basler Akkord | Basel Accord | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Kreditwürdigkeit | Credit rating | Bankrisiko | Bank risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-023-00129-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014372840