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Quantitative Finance · Begrippenlijst

Wat is Post-model adjustment?

Definition 26.11 Rates, Credit, XVA and Risk · Hoofdstuk 26 — Model Risk and Validation

A post-model adjustment is a documented change to a model’s output made outside the model to correct a known weakness until the model is fixed; it needs an owner, a rationale, a size and an expiry.

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