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A Quantitative Metric to Validate Risk Models
Validate Risk Models The paper applies a back‐testing validation methodology of economic scenario generating ... to evaluate the robustness of the underlying model during a specified validation period. The statistic ...- Authors: William Rearden, Chih-Kai Chang
- Date: Apr 2013
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A Quantitative Metric to Validate Risk Models
Models Abstract: The paper applies a back‐testing validation methodology of economic scenario generating ... to evaluate the robustness of the underlying model during a specified validation period. The statistic ...- Authors: William Rearden, Chih-Kai Chang
- Date: Apr 2013