Advertisement

Ex-ante Model Validation and Back-Testing

  • Stéphane LoiselEmail author
  • Kati Nisipasu
Chapter
Part of the EAA Series book series (EAAS)

Abstract

As the famous statistician George Box said, “All models are wrong, but some of them are useful”. The goal of the validation process is not to say whether a model is right or wrong. Besides, model elaboration and validation must be regarded as an ongoing process, whose goal is to continuously improve and update the model. In this chapter, we shall focus on several aspects: the formal a priori validation process, back-testing issues and model risk assessment.

Keywords

Internal Model Validation Process Solvency Capital Requirement Quick Detection Risk Driver 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.Univ Lyon – Université Lyon 1 – ISFA – LSAFLyonFrance
  2. 2.SCORParisFrance

Personalised recommendations