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  • Photo du rédacteurHélène Dufour

Bayesian Backtesting for Counterparty Risk Models

"... we find that the Bayesian approach outperforms the classical one in identifying whether a model is correctly specified which is the principal aim of any backtesting framework. The power of the methodology is due to its ability to test individual model parameters and hence identify which aspects of a model are misspecified as well as the degree of misspecification."


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