Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
A new automated model validation tool for financial institutions
Need to know
- We present a new automated tool for validating linear and logistic regression models.
- This tool can run model diagnostics and generate validation reports based on inputs automatically.
- The tool can be used for validating models built in any language, such as Python, SAS, and R.
Abstract
We present a new automated validation tool to validate predictive models for financial organizations based on the regulatory guidance of the US Federal Reserve and the Office of the Comptroller of the Currency. This automated tool is designed to help validate linear and logistic regression models. It automatically completes validation processes for seven areas: data sets, model algorithm assumptions, model coefficients and performance, model stability, backtesting, sensitivity testing and stress testing. The tool is packaged as a PYTHON library and can validate models developed in any language, such as PYTHON, R and the SAS language. Further, it can automatically generate a validation report as a portable document format (PDF) file while saving all the generated tables and charts in separate EXCEL and portable network graphic (PNG) files. With this automated tool, validators can standardize model validation procedures, improve efficiency and reduce human error. The tool can also be used during model development.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net