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isPartOf:"The journal of risk model validation"
~subject:"ARCH-Modell"
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The journal of risk model validation
Journal of banking & finance
63
Journal of financial stability
35
Journal of financial intermediation
28
Discussion paper / Centre for Economic Policy Research
25
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Journal of money, credit and banking : JMCB
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Journal of economic dynamics & control
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1
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
2
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
Fan, Mengting
;
Mo, Zan
;
Zhao, Qizhi
;
Gao, Hongming
; …
- In:
The journal of risk model validation
16
(
2022
)
4
,
pp. 37-75
Persistent link: https://www.econbiz.de/10014239847
Saved in:
3
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
4
Asset correlations and procyclical impact
Ho, Kung-Cheng
;
Chen, Jiun-Lin
;
Lee, Shih-Cheng
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011671171
Saved in:
5
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian
;
Du, Zunwei
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011587660
Saved in:
6
Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>
;
Karagozoglu, Ahmet K.
; …
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
Saved in:
7
Expected loss and impact of risk : backtesting parameter-based expected loss in a Basel II framework
Reitgruber, Wolfgang
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 59-84
Persistent link: https://www.econbiz.de/10010480648
Saved in:
8
Validation mythology of maturity adjustment formula for Basel II capital requirement
Petrov, Dmitry
;
Pomazanov, Michael
- In:
The journal of risk model validation
3
(
2009/10
)
3
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009262131
Saved in:
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