Internal Model

Internal Model

Internal model appropriate if risk profile materially different from that proposed by standard formula.

  • supervisor can compel an internal model


Tests in order to gain approval

  • Use test
  • Statistical quality Standards
  • Calibration Standards
  • Profit and Loss Attribution
  • Validation Standards
  • Documentation Standards



Validation of the internal model




Valdiation of the internal model


1 Comment
Newest Most Voted
Inline Feedbacks
View all comments