Model Validation Basel

Home >Basel II > Basel II Glossary >

Information to assess the validity of reporting at both Group level and for individual credit models should be implemented.

Actual Losses should be captured and used together with external data (economic cycle indicators, competitor analysis and Obligor default rates) to provide an assessment of the overall validity of risk models and process.

This information is reported to enable the market to assess the validity of credit risk models, designed using software systems, of which are provided by numerous vendors. Note numerous white papers can often be found on software vendors websites that relate to credit risk models.

Further, it is expected that this information will be analysed internally to determine any potential adjustments or ‘calibration’ that is required to the underlying credit risk models to ensure the validity of future risk-based reporting.

Go back to the ..
Basel II Glossary
section page.

- -
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-

To return to the main index press home at the bottom of the page.

-

Home Page