IDEAS home Printed from https://ideas.repec.org/a/rsk/journ5/7957679.html
   My bibliography  Save this article

A new automated model validation tool for financial institutions

Author

Listed:
  • Lingling Fan
  • Alex Schneider
  • Mazin Joumaa

Abstract

We present a new automated validation tool to validate predictive models for financial organizations based on the regulatory guidance of the US Federal Reserve and the Office of the Comptroller of the Currency. This automated tool is designed to help validate linear and logistic regression models. It automatically completes validation processes for seven areas: data sets, model algorithm assumptions, model coefficients and performance, model stability, backtesting, sensitivity testing and stress testing. The tool is packaged as a PYTHON library and can validate models developed in any language, such as PYTHON, R and the SAS language. Further, it can automatically generate a validation report as a portable document format (PDF) file while saving all the generated tables and charts in separate EXCEL and portable network graphic (PNG) files. With this automated tool, validators can standardize model validation procedures, improve efficiency and reduce human error. The tool can also be used during model development.

Suggested Citation

Handle: RePEc:rsk:journ5:7957679
as

Download full text from publisher

File URL: https://www.risk.net/system/files/digital_asset/2023-09/jrmv_fan_web_final.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ5:7957679. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-risk-model-validation .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.