Model Performance Measures

From Open Risk Manual


Model Performance Measures are the quantitative measures that provide an objective assessment of model performance, namely the standing of model output against prescribed criteria of accuracy, stability etc. depending on the model usage context.

See Also Model Accuracy


  • In the Credit Risk domain of Credit Rating and Credit Score models, model performance measures include discriminatory power and various calibration measures
  • In Market Risk VaR, performance measures include exceptions in backtesting
  • In pricing / valuation models, perfomance may be measured by assessing the quality of fit to observed market prices