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The journal of risk model validation
IMF working paper
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190
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90
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ECONIS (ZBW)
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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
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
3
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:
4
A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie
;
Huang, Emma
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
Saved in:
5
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:
6
Benchmarking loss given default discount rates
Scheule, Harald
;
Jortzik, Stephan
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 53-96
Persistent link: https://www.econbiz.de/10014336010
Saved in:
7
The utility of Basel III rules on excessive violations of internal risk models
Tarrant, Wayne
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10012020267
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8
On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
Zhang, Xin
;
Tung, Tony
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 39-61
Persistent link: https://www.econbiz.de/10012020268
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9
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Canals-Cerdá, José J.
- In:
The journal of risk model validation
12
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011991951
Saved in:
10
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:
11
A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark
;
Petrov, Alexander
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
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12
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:
13
Local housing market cycle and loss given default : evidence from sub-prime residential mortgages
Zhang, Yanan
;
Ji, Lu
;
Liu, Fei
-
2010
Persistent link: https://www.econbiz.de/10008667067
Saved in:
14
Macroprudential regulation under repo funding
Valderrama, Laura
-
2010
Persistent link: https://www.econbiz.de/10009405443
Saved in:
15
Bank capital : lessons from the financial crisis
Demirgüç-Kunt, Asli
;
Detragiache, Enrica
;
Merrouche, …
-
2010
Persistent link: https://www.econbiz.de/10009406817
Saved in:
16
FX swaps : implications for financial and economic stability
Barkbu, Bergljot Bjørnson
;
Ong, Li Lian
-
2010
Persistent link: https://www.econbiz.de/10003972587
Saved in:
17
Basel Core Principles and bank risk : does compliance matter?
Demirgüç-Kunt, Asli
;
Detragiache, Enrica
-
2010
Persistent link: https://www.econbiz.de/10003972711
Saved in:
18
Regulatory capital charges for too-connected-to-fail institutions : a practical proposal
Chan-Lau, Jorge A.
-
2010
Persistent link: https://www.econbiz.de/10003973001
Saved in:
19
Loss given default modeling : an application to data from a Polish bank
Karwański, Marek
;
Gostkowski, Michał
;
Jałowiecki, Piotr
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 23-40
Persistent link: https://www.econbiz.de/10011410319
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20
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:
21
Systemic liquidity management in the U.A.E. : issues and options
Chailloux, Alexandre
;
Hakura, Dalia S.
-
2009
Persistent link: https://www.econbiz.de/10003940520
Saved in:
22
Banks' precautionary capital and credit crunches
Valencia, Fabian
-
2008
Persistent link: https://www.econbiz.de/10003803849
Saved in:
23
Banking supervision : quality and governance
Arnone, Marco
;
Darbar, Salim M.
;
Gambini, Alessandro
-
2007
Persistent link: https://www.econbiz.de/10003491840
Saved in:
24
Operational risk : the sting is still in the tail but the poison depends on the dose
Jobst, Andreas A.
-
2007
Persistent link: https://www.econbiz.de/10003615070
Saved in:
25
Consistent quantitative operational risk measurement and regulation : challenges of model specification, data collection and loss reporting
Jobst, Andreas A.
-
2007
Persistent link: https://www.econbiz.de/10003624779
Saved in:
26
International diversification gains and home bias in banking
García Herrero, Alicia
;
Vázquez, Francisco
-
2007
Persistent link: https://www.econbiz.de/10003629056
Saved in:
27
Comment in response to “A methodology for point-in-time - through-the-cycle probability of default decomposition in risk classification systems” by M. Carlehed and A. Petrov
Forest, Lawrence R. <Jr.>
;
Chawla, Gaurav
;
Aguais, Scott D.
- In:
The journal of risk model validation
7
(
2013/2014
)
4
,
pp. 73-78
Persistent link: https://www.econbiz.de/10010480644
Saved in:
28
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:
29
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/10009770132
Saved in:
30
Regulatory capture in banking
Hardy, Daniel C. L.
-
2006
Persistent link: https://www.econbiz.de/10003293105
Saved in:
31
Banking on the principles : compliance with Basel Core Principles and bank soundness
Demirgüç-Kunt, Asli
;
Detragiache, Enrica
;
Tressel, Thierry
-
2006
Persistent link: https://www.econbiz.de/10003396348
Saved in:
32
Did the Basel Accord cause a credit slowdown in Latin America?
Barajas, Adolfo
;
Chami, Ralph
;
Cosimano, Thomas F.
-
2005
Persistent link: https://www.econbiz.de/10002746980
Saved in:
33
Cyclical implications of changing bank capital requirements in a macroeconomic framework
Catalán, Mario
;
Ganapolsky, Eduardo
-
2005
Persistent link: https://www.econbiz.de/10003218785
Saved in:
34
Managing the interest rate risk of Indian banks' government securities holdings
Sy, Amadou N. R.
-
2005
Persistent link: https://www.econbiz.de/10003076175
Saved in:
35
Liberalization, prudential supervision, and capital requirements : the policy trade-offs
Ribakova, Elina
-
2005
Persistent link: https://www.econbiz.de/10003112706
Saved in:
36
A methodology for point-in-time : through-the-cycle probability of default decomposition in risk classification systems
Carlehed, Magnus
;
Petrov, Alexander
- In:
The journal of risk model validation
6
(
2012
)
3
,
pp. 3-25
Persistent link: https://www.econbiz.de/10009658578
Saved in:
37
Does compliance with Basel Core Principles bring any measurable benefits?
Podpiera, Richard
-
2004
Persistent link: https://www.econbiz.de/10002649200
Saved in:
38
Banking competition, risk, and regulation
Bolt, Wilko
;
Tieman, Alexander F.
-
2004
Persistent link: https://www.econbiz.de/10002021650
Saved in:
39
Model validation : theory, practice and perspectives
Hénaff, Patrick
;
Martini, Claude
- In:
The journal of risk model validation
5
(
2011/12
)
4
,
pp. 3-15
Persistent link: https://www.econbiz.de/10009422497
Saved in:
40
On the choice of liquidity horizon for incremental risk charges : are the incentives of banks and regulators aligned?
Skoglund, Jimmy
;
Chen, Wei
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 37-57
Persistent link: https://www.econbiz.de/10009356746
Saved in:
41
Addressing the issue of conservatism in probalility of default estimates : a validation tool
Branco, Carlos
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 3-19
Persistent link: https://www.econbiz.de/10009356785
Saved in:
42
A practical anatomy of incremental risk charge modeling
Martin, Marcus R. W.
;
Lutz, Helmut
;
Wehn, Carsten
- In:
The journal of risk model validation
5
(
2011
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10009356817
Saved in:
43
A proposal for a validation methodology for the discriminatory power of a rating system over time
Blümke, Oliver
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 21-44
Persistent link: https://www.econbiz.de/10009356850
Saved in:
44
Emerging issues in banking regulation
Chami, Ralph
;
Khan, Mohsin S.
;
Sharma, Sunil
-
2003
Persistent link: https://www.econbiz.de/10001777999
Saved in:
45
Internal models-based capital regulation and bank risk-taking incentives
Kupiec, Paul H.
-
2002
Persistent link: https://www.econbiz.de/10001697475
Saved in:
46
Internal models, subordinated debt, and regulatory capital requirements for bank credit risk
Kupiec, Paul H.
-
2002
Persistent link: https://www.econbiz.de/10001706295
Saved in:
47
Probability of default estimation and validation within context of the credit cycle
Blümke, Oliver
- In:
The journal of risk model validation
4
(
2010/11
)
2
,
pp. 27-45
Persistent link: https://www.econbiz.de/10003995409
Saved in:
48
Reconciling credit correlations
Chernih, Andrew
;
Henrard, Luc
;
Vanduffel, Steven
- In:
The journal of risk model validation
4
(
2010/11
)
2
,
pp. 47-64
Persistent link: https://www.econbiz.de/10003995410
Saved in:
49
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
Saved in:
50
Monetary policy with a touch of Basel
Chami, Ralph
;
Cosimano, Thomas F.
-
2001
Persistent link: https://www.econbiz.de/10001630977
Saved in:
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