Evaluating credit risk models

Evaluating credit risk models: A critique and a new proposal

Evaluating the quality of credit portfolio risk models is an important question for both banks and regulators. Lopez and Saidenberg (2000) suggest cross-sectional resampling techniques in order to make efficient use of available data and to produce measures of forecast accuracy. We first show that their proposal disregards crosssectional dependence in simulated subportfolios, which renders stan...

Credit Risk Scoring Models

Credit scoring models play a fundamental role in the risk management practice at most banks. They are used to quantify credit risk at counterparty or transaction level in the different phases of the credit cycle (e.g. application, behavioural, collection models). The credit score empowers users to make quick decisions or even to automate decisions and this is extremely desirable when banks are ...

Credit risk models : why they failed in the credit crisis

Credit Risk, Credit Derivatives and Firm Value Based Models

∗Schwartz Center for Economic Policy Analysis, New School, New York, and Center for Empirical Macroeconomics, Bielefeld

Evaluating health risk models.

Interest in targeted disease prevention has stimulated development of models that assign risks to individuals, using their personal covariates. We need to evaluate these models and quantify the gains achieved by expanding a model to include additional covariates. This paper reviews several performance measures and shows how they are related. Examples are used to show that appropriate performanc...