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In this paper, we suggest a technique to quantify model risk, particularly model misspecification for binary response regression problems found in financial risk management, such as in credit risk ... Click to show full abstract
In this paper, we suggest a technique to quantify model risk, particularly model misspecification for binary response regression problems found in financial risk management, such as in credit risk ...
Keywords:
quantification model;
risk;
model misspecification;
model;
model risk
Journal Title: Journal of Applied Statistics
Year Published: 2020
Link to full text (if available)
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Journal Title: Journal of Applied Statistics
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!