quodly/risk/models/validation
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validation is a process to reduce model risk
range of practices and issues in economic capital frameworks , p. 34
- validation of qualitative processes
- validation of quantitative processes
studies on the validation of internal rating systems , p. 8
- validation of rating systems
- validation of ratings processes
fair lending compliance, p. 308
- validation of inputs
- validation of processes
- validation of outputs
model performance
- stability
- population stability index, system stability index
- qualitative prediction, separation, discrimination, ranking
- divergence, information value
- somers d statistic, wilcoxon-mann-whitney u statistic
- kolmogorov-smirnov (ks) statistic
- receiver operating characterstic (roc) curve
- roc measure, area under roc curve (auroc), area under curve (auc)
- pietra index
- cumulativ accuracy profile (cap) curve, gini curve, lift curve, power curve, lorenz curve
- accuracy ratio (ar), gini coefficient (gini)
- quantitative prediction, calibration, accuracy
- exact binomial test, asymptotic binomial test
- correlation-dependent binomial test
- chi-square test, hosmer-lemeshow test
- brier score, spiegelhalter test
- asrf model test, vasicek test
- correctness
- conversion matrix, error matrix