Model Risk in Credit Portfolio Models
Risk Management
2021-11-30 v1 Probability
Computational Finance
Portfolio Management
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.
Cite
@article{arxiv.2111.14631,
title = {Model Risk in Credit Portfolio Models},
author = {Christian Meyer},
journal= {arXiv preprint arXiv:2111.14631},
year = {2021}
}
Comments
12 pages, 2 figures