Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
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Validation techniques and performance metrics for loss given default models
David Li, Ruchi Bhariok, Sean Keenan, Stefano Santilli
Abstract
ABSTRACT
This paper presents a practical framework for empirically evaluating the performance of loss given default models as part of a greater credit risk management infrastructure. It discusses the use of quantitative metrics such as the confusion matrix, the expected loss shortfall, and the loss capture ratio as part of a periodic validation/approval process.
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