Model Validation

Michel Crouhy; Dan Galai; Robert Mark

doi:10.1002/9780470061602.eqf15017

Model Validation

Michel Crouhy
, Dan Galai
, Robert Mark

BA Business Department

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

Critical to reducing model risk is to establish a process for the independent vetting of how models are both selected and constructed. This article discusses the six phases of the model validation process.

Original language	English
Title of host publication	Encyclopedia of Quantitative Finance
Publisher	wiley
Pages	1-2
Number of pages	2
ISBN (Electronic)	9780470061602
ISBN (Print)	9780470057568
DOIs	https://doi.org/10.1002/9780470061602.eqf15017
State	Published - 1 Jan 2010

Bibliographical note

Publisher Copyright:
© 2010 John Wiley & Sons, Ltd. All rights reserved.

Keywords

benchmark modeling
documentation
model risk
stress testing
vetting

Access to Document

10.1002/9780470061602.eqf15017

Cite this

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Model Validation

Abstract

Bibliographical note

Keywords

Access to Document

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Cite this