Model Development
From Open Risk Manual
Definition
Model Development is the process of putting together the financial know-how, empirical evidence, mathematical techniques and IT framework for the purpose of developing a well defined quantitative model, with a stated performance objective, usage guidelines etc.
Context
This process encompasses the more specific Quantitative Model Development process and precedes the Model Validation phase.
In the context of statistical models model development encompasses:
- Characteristic (Variable) Analysis and Selection e.g., via Univariate Analysis
- Variable Transformations
- Model Estimation (or Model Fit)
- Model Calibration
