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

PROROKOWSKI, Lukasz. Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models. Journal of Risk Model Validation. London, England: INCISIVE MEDIA, 2019, roč. 13, č. 2, s. 109-147. ISSN 1753-9579. Dostupné z: https://dx.doi.org/10.21314/JRMV.2019.203.

Základní údaje

• Originální název: Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
• Autoři: PROROKOWSKI, Lukasz.
• Vydání: Journal of Risk Model Validation, London, England, INCISIVE MEDIA, 2019, 1753-9579.

Další údaje

• Originální jazyk: angličtina
• Typ výsledku: Článek v odborném periodiku
• Utajení: není předmětem státního či obchodního tajemství
• WWW: URL
• Impakt faktor: Impact factor: 0.412
• Doi: http://dx.doi.org/10.21314/JRMV.2019.203
• UT WoS: 000470784500005
• Příznaky: Mezinárodní význam, Recenzováno

Anotace

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, our paper serves as a basis for producing such policies and utilizing appropriate statistical tools for validating the backtesting process. This 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.