arXiv (math.PR)
2026-06-17 12:00
DOI:
arXiv:2111.14631
Model Risk in Credit Portfolio Models
作者:
摘要 / Abstract
arXiv:2111.14631v2 Announce Type: replace-cross
Abstract: Model risk in credit portfolio models is a serious issue for banks but has so far not been tackled comprehensively. We will demonstrate how to deal with uncertainty in all model parameters in an all-embracing, yet easy-to-implement way.