Description: This article describes a method that can be useful when re-fitting a risk score model to a population of only moderate size. Learn how to use concepts like ridge regression to train a model with partial credibility.

Description: European insurance regulation pretends to capture and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such measure. Why?

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.