Uses and Abuses of ARIMA in PPNR Modeling and Risk Management: Why Not to Fear ARIMA

September 28, 2016

The ARIMA model is widely used in PPNR modeling. However, some banks fear stability issues. Dimitri Bianco discusses the abuses in ARIMA modeling and how to avoid mistakes that result in unstable models.

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Uses and Abuses of ARIMA in PPNR Modeling and Risk Management: Why Not to Fear ARIMA