A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows
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- Sergio Caprioli & Emanuele Cagliero & Riccardo Crupi, 2023. "Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks," Papers 2309.08652, arXiv.org, revised Nov 2023.
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Keywords
hypothesis test; credit risk; rating system; validation; backtesting; long-run default rate; EBA guidelines; correlation effects;All these keywords.
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