Model Risk in Credit Portfolio Models

2021/11/23 by Christian Meyer, Meyer, Christian
Economics, Econometrics and Finance · #Credit Risk and Financial Regulations

paper · pdf · doi:10.48550/arxiv.2111.14631

Abstract

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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