Model Accuracy
From Open Risk Manual
Revision as of 00:13, 28 January 2020 by Wiki admin (talk | contribs)
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
