Yang Liu
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On Missing Data Imputation for IRB Models (eBook, PDF)

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Technical Report from the year 2021 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1, , language: English, abstract: Often, model development starts with missing data treatment. For regulatory internal rating based (IRB) models, missing data raise data quality concerns around system and process whereas the randomness nature of missing is sometimes overlooked, resulting inappropriate choice of imputation methods, more importantly, the chosen imputation method could lead to issues that violate modelling assumptions in the later process. With ML and AI...

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