top of page
Rechercher
  • 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."

LIRE


2 vues0 commentaire

Posts récents

Voir tout

The findings underscore the importance of inside debt compensation as a #riskmanagement #governance mechanism that alleviates inefficiencies related to #cybersecurity investments. LIRE

As more #laws and #legal norms are introduced to enforce #esg standards, directors are required to ensure that their corporation complies with these standards. This encroaches on the #fiduciary relati

bottom of page