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DROP Validation

DROP Validation contains the Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing Modules.

Component Packages

  • Distance DROP XVA Validation Distance implements the Hypothesis Target Distance Test Builders.

  • Evidence DROP Validation Evidence implements the Sample and Ensemble Evidence Processing.

  • Hypothesis DROP Validation Hypothesis implements the Statistical Hypothesis Validation Test Suite.

  • Quantile DROP Validation Quantile implements the Quantile Based Graphical Numerical Validators.

  • Risk Factor Joint DROP Validation Risk Factor Joint implements the Joint Risk Factor Aggregate Tests.

  • Risk Factor Single DROP Validation Risk Factor Single implements the Single Risk Factor Aggregate Tests.

References

  • Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for Back-testing Credit Exposure Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 eSSRN

  • Bhattacharya, B., and D. Habtzghi (2002): Median of the p-value under the Alternate Hypothesis American Statistician 56 (3) 202-206

  • Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with Applications to Financial Risk Management International Economic Review 39 (4) 863-883

  • Filliben, J. J. (1975): The Probability Plot Correlation Coefficient Test for Normality Technometrics, American Society for Quality 17 (1) 111-117

  • Gibbons, J. D., and S. Chakraborti (2003): Non-parametric Statistical Inference 4th Edition CRC Press

  • Gnanadesikan, R. (1977): Methods for Statistical Analysis of Multivariate Observations Wiley

  • Head, M. L., L. Holman, R, Lanfear, A. T. Kahn, and M. D. Jennions (2015): The Extent and Consequences of p-Hacking in Science PLoS Biology 13 (3) e1002106

  • Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit Pricing Palgrave Macmillan

  • Thode, H. C. (2002): Testing for Normality Marcel Dekker New York

  • Wasserstein, R. L., and N. A. Lazar (2016): The ASA Statement on p-values: Context, Process, and Purpose American Statistician 70 (2) 129-133

  • Wetzels, R., D. Matzke, M. D. Lee, J. N. Rouder, G, J, Iverson, and E. J. Wagenmakers (2011): Statistical Evidence in Experimental Psychology: An Empirical Comparison using 855 t-Tests Perspectives in Psychological Science 6 (3) 291-298

  • Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform

  • Wikipedia (2018): Q-Q Plot https://en.wikipedia.org/wiki/Q%E2%80%93Q_plot

  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value

DROP Specifications