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Paper / 2023SMQ / 131702057035870
A hypothesis test for the long-term calibration in rating systems with overlapping time windows
Jan Streicher / Max Nendel / Patrick Kurth
banking / credit riskResource overview

A hypothesis test for the long-term calibration in rating systems with overlapping time windows

Paper2023

by Jan Streicher, Max Nendel, Patrick Kurth

Tags
bankingcredit riskhypothesis testingmodel calibrationstatistical inferencestatistics

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Suggested foundations for optimisation and numerical methods and probability and statistical reasoning. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  4. Conditional Expectation

    Interpret expectations after information is observed.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

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