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

J 2019

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

PROROKOWSKI, Lukasz

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 (616 Polsko, garant, domácí)

Vydání

Journal of Risk Model Validation, Incisive Media, 2019, 1753-9579

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50206 Finance

Stát vydavatele

Velká Británie a Severní Irsko

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 0.412

Kód RIV

RIV/00216224:14560/19:00113043

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.21314/JRMV.2019.203

UT WoS

000470784500005

Klíčová slova anglicky

targeted review of internal models (TRIM); probability of default (PD); backtesting process; calibration; discrimination; stability

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 24. 2. 2020 00:32, Oleg Deev, Ph.D.

Anotace

V originále

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

Citovat

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. Incisive Media, 2019, roč. 13, č. 2, s. 109-147. ISSN 1753-9579. Dostupné z: https://dx.doi.org/10.21314/JRMV.2019.203.

@article{1626680,
   author = {Prorokowski, Lukasz},
   article_number = {2},
   doi = {http://dx.doi.org/10.21314/JRMV.2019.203},
   keywords = {targeted review of internal models (TRIM); probability of default (PD); backtesting process; calibration; discrimination; stability},
   language = {eng},
   issn = {1753-9579},
   journal = {Journal of Risk Model Validation},
   title = {Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models},
   url = {https://www.risk.net/journal-of-risk-model-validation/6653576/validation-of-the-backtesting-process-under-the-targeted-review-of-internal-models-practical-recommendations-for-probability-of-default-models},
   volume = {13},
   year = {2019}
}

TY  - JOUR
ID  - 1626680
AU  - Prorokowski, Lukasz
PY  - 2019
TI  - Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
JF  - Journal of Risk Model Validation
VL  - 13
IS  - 2
SP  - 109-147
EP  - 109-147
PB  - Incisive Media
SN  - 17539579
KW  - targeted review of internal models (TRIM)
KW  - probability of default (PD)
KW  - backtesting process
KW  - calibration
KW  - discrimination
KW  - stability
UR  - https://www.risk.net/journal-of-risk-model-validation/6653576/validation-of-the-backtesting-process-under-the-targeted-review-of-internal-models-practical-recommendations-for-probability-of-default-models
L2  - https://www.risk.net/journal-of-risk-model-validation/6653576/validation-of-the-backtesting-process-under-the-targeted-review-of-internal-models-practical-recommendations-for-probability-of-default-models
N2  - 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, this paper serves as a basis for producing such policies and utilizing appropriate statistical tools for validating the backtesting process. The 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.
ER  -

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

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