商业银行模型风险量化简介

Tiziano Bellini
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引用次数: 0

摘要

模型必须采用的简化和假设有时是以在压力下的准确性和结构完整性为代价的。这使银行面临模型风险:由于模型的开发、实现或使用中的错误而导致的经济或声誉损失的风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Gentle Introduction to Model Risk Quantification in Commercial Banking
The simplification and assumptions that models must necessarily employ sometimes come at the cost of accuracy and structural integrity under stress. This exposes the bank to model risk: the risk of economic or reputation loss due to errors in the development, implementation or use of models.
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