2 papers
q-fin.RM2026
Attributing Differences Between Forecast Runs to Input Changes, With Applications to CCAR and CECL Exercises
Xuan Mei, Junze Lin
Forecasting systems used in the Comprehensive Capital Analysis and Review (CCAR) and Current Expected Credit Losses (CECL) processes combine portfolio data, macroeconomic scenarios…
q-fin.RM2026
Attributing Forecast Gaps to Component Models in Complex Model Suites
Xuan Mei, Junze Lin
Complex model suites composed of multiple interacting component models are widely used in financial forecasting and risk management. In model performance testing, including in-samp…