Model Accuracy: Difference between revisions
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Latest revision as of 00:13, 28 January 2020
Definition
Model Accuracy refers to the condition of a Quantitative Risk Model in respect to its ability to provide reliable risk assessments.
Accuracy Measures
Model accuracy measures differ depending on the type of model and domain of application. Indicatively:
- Credit Risk Models: Discriminatory Power, calibration quality
- Market Risk Models: Backtesting performance