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Model Risk in Credit Portfolio Models

Christian Meyer

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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.

Date: 2021-11
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-rmg
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