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

 

 

Validation

Valdiation of the internal model

 

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