Model Risk in Credit Portfolio Models
classification
💱 q-fin.RM
math.PRq-fin.CPq-fin.PM
keywords
modelcreditmodelsportfolioriskall-embracingbanksbeen
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Model risk in credit portfolio models is a serious issue for banks but has so far not been tackled comprehensively. We will demonstrate how to deal with uncertainty in all model parameters in an all-embracing, yet easy-to-implement way.
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