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Model Validation Analytics Library

Model Validation Analytics Library contains Statistical Hypotheses Validation and Testing Functionality.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Validation => Statistical Hypotheses Evidence Processing and Testing.

Coverage

  • Probability Integral Transform
    • Introduction
    • Applications
    • Statement and Proof
    • Examples
    • References
  • t-Statistic
    • Overview
    • Definitions and Features
    • Use
    • Prediction
    • Related Concepts
    • References
  • p-value
    • Overview
    • Basic Concepts
    • Definition and Interpretation
    • Misconceptions
    • Usage
    • Calculation
    • Distribution
    • Example - One Roll of a Pair of Dice
    • Example - Five Heads in a Row
    • Sample Size Dependence
    • Alternating Coin Flips
    • Generic Coin Flipping
    • References
  • Q-Q Plot
    • Introduction and Overview
    • Definition and Construction
    • Intepretation
    • Plotting Positions
    • Expected Value of the Order Statistic for a Uniform Distribution
    • Expected Value of the Order Statistic for a Standard Normal Distribution
    • Median of the Order Statistics
    • Heuristics
    • Filliben’s Estimate
    • References
  • Basel III Framework for Backtesting Exposure Models
    • Abstract
    • Introduction
    • Basic Concepts and the Need for Backtesting
    • Regulatory Guidances
    • RF Backtesting: The Backtesting Construction for Collateralized and Uncollateralized Models
    • Discriminatory Power RF Backtesting
    • The Aggregation of Backtesting Results
    • Correlations Backtesting
    • Portfolio Backtesting
    • Capital Buffer Calculation
    • Conclusion
    • References
  • Initial Margin Backtesting Framework
    • Abstract
    • Introduction
    • How to Construct a DIM Model
    • How to Back Test a DIM Model
    • Backtesting DIM Mapping Functions (for Capital Exposure and CVA)
    • Backtesting the IMRD for MVA and LCR/NSFR
    • Conclusion
    • References
  • Model Risk Management Framework
    • Introduction
    • Purpose and Scope
    • Overview of Model Risk Management
    • Model Development, Implementation, and Use
    • Model Development and Implementation
    • Model Use
    • Model Validation
    • Key Elements of Comprehensive Validation
    • Evaluation of Conceptual Soundness
    • Ongoing Monitoring
    • Outcomes Analysis
    • Validation of Vendor and other Third-Party Products
    • Governance, Policies, and Controls
    • Board of Directors and Senior Management
    • Policies and Procedures
    • Roles and Responsibilities
    • Internal Audit
    • External Resources
    • Model Inventory
    • Documentation
    • Conclusion
    • References

DROP Specifications