Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
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DOI: 10.1057/s41283-023-00129-x
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More about this item
Keywords
Validation; IRB; Basel II; AUROC; CLAR; Loss shortfall; Brier skill score; Traffic light approach;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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