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Blümke, Oliver
4
Chen, Wei
4
Skoglund, Jimmy
4
Bhariok, Ruchi
2
Chen, Fen-ying
2
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2
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The journal of risk model validation
64
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OLC EcoSci
64
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1
Credit portfolio models in the presence of forward-looking stress events
Denev, Alexander
- In:
The journal of risk model validation
7
(
2013
)
1
,
pp. 83-121
Persistent link: https://www.econbiz.de/10010160323
Saved in:
2
Computing a standard error for the Gini coefficient : an application to credit risk model validation
Frunza, Marius-Cristian
- In:
The journal of risk model validation
7
(
2013
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10010160324
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3
Loss given default modeling : a compartive analysis
Yashkir, Olga
;
Yashkir, Yuri
- In:
The journal of risk model validation
7
(
2013
)
1
,
pp. 25-59
Persistent link: https://www.econbiz.de/10010160325
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4
Economic capital model validation : a comparative study
Hu, Zhenya
;
Levy-Livermore, Amnon
;
Zhang, Jing
- In:
The journal of risk model validation
7
(
2013
)
1
,
pp. 3-23
Persistent link: https://www.econbiz.de/10010160326
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5
Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 93-117
Persistent link: https://www.econbiz.de/10010185312
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6
An algorithmic model for retail credit portfolio segmentation
Yeh, Andy J. Y.
;
Lopez, Jose A.
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 61-91
Persistent link: https://www.econbiz.de/10010185313
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7
Probability of default validation : introducing the likelihood-ratio test and power considerations
Blümke, Oliver
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 29-59
Persistent link: https://www.econbiz.de/10010185314
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8
An integrated stress testing framework via Markov switching simulation
Chen, Wei
;
Skoglund, Jimmy
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10010185315
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9
Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
;
Sookia, Noor
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 95-111
Persistent link: https://www.econbiz.de/10010077133
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10
Capturing value-at-risk in futures markets : a revised filtered historical simulation approach
Changchien, Chang-cheng
;
Lin, Chu-hsiung
;
Kao, Wei-shun
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 67-93
Persistent link: https://www.econbiz.de/10010077134
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