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Blog

6

Dec, 2018

Reducing Model Bias Bayesian Model Selection and Averaging

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The advent of IFRS 9 across the Banking industry has led to the emergence of various challenges for risk managers. Given the current practices with respect to incorporation of macroeconomic impact in risk parameters, it is imperative to have a robust framework for the same. The current blog enumerates the current industry practices and introduces the methods of statistical model averaging. The method of Bayesian model averaging, which has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations is described […]

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