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Model Risk in Credit Portfolio Models

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  • Christian Meyer

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.

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  • Christian Meyer, 2021. "Model Risk in Credit Portfolio Models," Papers 2111.14631, arXiv.org.
    • Handle: RePEc:arx:papers:2111.14631
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    References listed on IDEAS

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    1. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
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    Cited by:

    1. Christian Meyer, 2021. "Estimation of inter-sector asset correlations," Papers 2111.15204, arXiv.org.

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