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Evaluating Credit Risk Models
Company: Federal Reserve Bank of San Francisco
Year Of Publication: 1999
Month Of Publication: June
Pages: 23
Download Count: 1527
View Count: 9045
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-23-2003
Publisher: Administrator
Summary
Over the past decade, commercial banks have devoted many resources to developinginternal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators. Recently, banks have extended these efforts into the field of credit risk modeling. However, an important question for both banks and their regulators is evaluating the accuracy of a model’s forecasts of credit losses, especially given the small number of available forecasts due to their typically long planning horizons. Using a panel data approach, we propose evaluation methods for credit risk models based on crosssectional simulation. Specifically, models are evaluated not only on their forecasts over time, but also on their forecasts at a given point in time for simulated credit portfolios. Once the forecasts corresponding to these portfolios are generated, they can be evaluated using various statistical methods
Author(s)
Lopez, Jose A. Sign in to follow this author
Saidenberg, Marc R. Sign in to follow this author
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