Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00113043" target="_blank" >RIV/00216224:14560/19:00113043 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.risk.net/journal-of-risk-model-validation/6653576/validation-of-the-backtesting-process-under-the-targeted-review-of-internal-models-practical-recommendations-for-probability-of-default-models" target="_blank" >https://www.risk.net/journal-of-risk-model-validation/6653576/validation-of-the-backtesting-process-under-the-targeted-review-of-internal-models-practical-recommendations-for-probability-of-default-models</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21314/JRMV.2019.203" target="_blank" >10.21314/JRMV.2019.203</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

Popis výsledku v původním jazyce

This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM). It advises on the introductory steps for validating the backtesting process and reviews the available statistical tests for calibration, discrimination and stability backtesting. The TRIM regulatory exercise is an international supervisory initiative that inspects the internal models and related internal risk and governance policies of eurozone banks that are permitted to use the advanced internal risk-based (AIRB) approach. Under the TRIM guidelines, the designated banks should have specific policies and internal guidelines for the validation of the backtesting process. Further, the affected banks are required to validate the entire backtesting process. Addressing these needs, this paper serves as a basis for producing such policies and utilizing appropriate statistical tools for validating the backtesting process. The paper focusses on probability of default models. To date, no academic study has discussed the validation of the backtesting process with reference to the TRIM rules.

Název v anglickém jazyce

Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

Popis výsledku anglicky

This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM). It advises on the introductory steps for validating the backtesting process and reviews the available statistical tests for calibration, discrimination and stability backtesting. The TRIM regulatory exercise is an international supervisory initiative that inspects the internal models and related internal risk and governance policies of eurozone banks that are permitted to use the advanced internal risk-based (AIRB) approach. Under the TRIM guidelines, the designated banks should have specific policies and internal guidelines for the validation of the backtesting process. Further, the affected banks are required to validate the entire backtesting process. Addressing these needs, this paper serves as a basis for producing such policies and utilizing appropriate statistical tools for validating the backtesting process. The paper focusses on probability of default models. To date, no academic study has discussed the validation of the backtesting process with reference to the TRIM rules.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Risk Model Validation

ISSN

1753-9579

e-ISSN

1753-9587

Svazek periodika

13

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

39

Strana od-do

109-147

Kód UT WoS článku

000470784500005

EID výsledku v databázi Scopus

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