riskparameters.eu
riskparameters.eu

Model Development

  • Create new models for new purposes/portfolios
  • Update existing models when suggested by model monitoring
  • Define necessary parameters (default and workout LGD, candidate account characteristics, performance and observation windows)
  • Automate the creation of model development input tables (historical account snapshots)
  • Standardize and document the statistical modeling process
  • Emphasize co-operation of modeler and business expert
  • Validate model quality
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© Hendrik Wagner