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The journal of risk model validation
International journal of central banking : IJCB
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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
Financial stability committees and the Basel III countercyclical capital buffer
Edge, Rochelle M.
;
Liang, Jean Nellie
- In:
International journal of central banking : IJCB
18
(
2022
)
5
,
pp. 247-299
Persistent link: https://www.econbiz.de/10014248397
Saved in:
4
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:
5
The determinants of European Banks' capital structure : is there a difference between public and private banks?
Oliveira, Vitor
;
Raposo, Clara
- In:
International journal of central banking : IJCB
17
(
2021
)
3
,
pp. 155-202
Persistent link: https://www.econbiz.de/10014323151
Saved in:
6
Rethinking capital regulation : the case for a dividend prudential target
Muñoz, Manuel A.
- In:
International journal of central banking : IJCB
17
(
2021
)
3
,
pp. 273-336
Persistent link: https://www.econbiz.de/10014323161
Saved in:
7
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:
8
Bank capital : a seawall approach
Dagher, Jihad C.
;
Dell'Ariccia, Giovanni
;
Laeven, Luc
; …
- In:
International journal of central banking : IJCB
16
(
2020
)
2
,
pp. 249-291
Persistent link: https://www.econbiz.de/10012180285
Saved in:
9
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:
10
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:
11
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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12
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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13
Are Basel's capital surcharges for global systemically important banks too small?
Passmore, Stuart Wayne
;
Hafften, Alexander H. von
- In:
International journal of central banking : IJCB
15
(
2019
)
1
,
pp. 107-156
Persistent link: https://www.econbiz.de/10012174465
Saved in:
14
Evaluating indicators for use in setting the countercyclical capital buffer
Tölö, Eero
;
Laakkonen, Helinä
;
Kalatie, Simo
- In:
International journal of central banking : IJCB
14
(
2018
)
2
,
pp. 51-112
Persistent link: https://www.econbiz.de/10011825985
Saved in:
15
Leverage and risk-weighted capital requirements
Gambacorta, Leonardo
;
Karmakar, Sudipto
- In:
International journal of central banking : IJCB
14
(
2018
)
5
,
pp. 153-191
Persistent link: https://www.econbiz.de/10011968876
Saved in:
16
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:
17
Joint validation of credit rating PDs under default correlation
Schechtman, Ricardo
- In:
International journal of central banking : IJCB
13
(
2017
)
2
,
pp. 235-282
Persistent link: https://www.econbiz.de/10011703759
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18
Cyclicality and firm size in private firm defaults
Jensen, Thais Lærkholm
;
Lando, David
;
Medhat, Mamdouh
- In:
International journal of central banking : IJCB
13
(
2017
)
4
,
pp. 97-145
Persistent link: https://www.econbiz.de/10011785093
Saved in:
19
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:
20
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
Saved in:
21
The effects of liquidity regulation on bank assets and liabilities
Duijm, Patty
;
Wierts, Peter
- In:
International journal of central banking : IJCB
12
(
2016
)
2
,
pp. 385-411
Persistent link: https://www.econbiz.de/10011528224
Saved in:
22
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:
23
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
Saved in:
24
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:
25
The road to financial stability : capital regulation, liquidity regulation, and resolution
Cecchetti, Stephen G.
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 127-139
Persistent link: https://www.econbiz.de/10011376467
Saved in:
26
Systemic risk and the solvency-liquidity nexus of banks
Pierret, Diane
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 193-227
Persistent link: https://www.econbiz.de/10011376501
Saved in:
27
Discussion of "Systemic risk and the solvency-liquidity nexus of banks"
Adrian, Tobias
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 229-240
Persistent link: https://www.econbiz.de/10011376503
Saved in:
28
Centrality-based capital allocations
Alter, Adrian
;
Craig, Ben R.
;
Raupach, Peter
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 329-377
Persistent link: https://www.econbiz.de/10011376887
Saved in:
29
Discussion of "Centrality-based capital allocations"
Tahbaz-Salehi, Alireza
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 379-384
Persistent link: https://www.econbiz.de/10011376888
Saved in:
30
Liquidity requirements : a double-edged sword
König, Philipp Johann
- In:
International journal of central banking : IJCB
11
(
2015
)
4
,
pp. 129-168
Persistent link: https://www.econbiz.de/10011628161
Saved in:
31
When capital adequacy and interest rate policy are substitutes : (and when they are not)
Cecchetti, Stephen G.
;
Kohler, Marion
- In:
International journal of central banking : IJCB
10
(
2014
)
3
,
pp. 205-231
Persistent link: https://www.econbiz.de/10010469926
Saved in:
32
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:
33
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:
34
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:
35
Capital regulation, monetary policy, and financial stability
Agénor, Pierre-Richard
;
Alper, Koray
;
Silva, Luiz A. …
- In:
International journal of central banking : IJCB
9
(
2013
)
3
,
pp. 193-238
Persistent link: https://www.econbiz.de/10009793010
Saved in:
36
Granularity adjustment for regulatory capital assessment
Gordy, Michael B.
;
Lütkebohmert-Holtz, Eva
- In:
International journal of central banking : IJCB
9
(
2013
)
3
,
pp. 33-71
Persistent link: https://www.econbiz.de/10009793023
Saved in:
37
Discussion of "banks' equity capital frictions, capital ratios, and interest rates : evidence from Spanish banks"
De Nicolò, Gianni
- In:
International journal of central banking : IJCB
9
(
2013
)
1
,
pp. 227-232
Persistent link: https://www.econbiz.de/10009725110
Saved in:
38
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:
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
Discussion of "The unreliability of credit-to-GDP ratio gaps in real time : implications for countercyclical capital buffers"
Van Norden, Simon
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 299-303
Persistent link: https://www.econbiz.de/10009521265
Saved in:
45
The unreliability of credit-to-GDP ratio gaps in real time : implications for countercyclical capital buffers
Edge, Rochelle M.
;
Meisenzahl, Ralf R.
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 261-298
Persistent link: https://www.econbiz.de/10009521266
Saved in:
46
Discussion of "Anchoring countercyclical capital buffers : the role of credit aggregatres"
Jordà, Òscar
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 241-259
Persistent link: https://www.econbiz.de/10009521267
Saved in:
47
Anchoring countercyclical capital buffers : the role of credit aggregatres
Drehmann, Mathias
;
Borio, Claudio E. V.
;
Tsatsaronis, Kostas
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 189-240
Persistent link: https://www.econbiz.de/10009521268
Saved in:
48
The capital conundrum
Herring, Richard J.
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 171-187
Persistent link: https://www.econbiz.de/10009521269
Saved in:
49
Discussion of "Capital regulation and tail risk"
Winton, Andrew
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 165-170
Persistent link: https://www.econbiz.de/10009521270
Saved in:
50
Capital regulation and tail risk
Perotti, Enrico C.
;
Ratnovski, Lev
;
Vlahu, Razvan
- In:
International journal of central banking : IJCB
7
(
2011
)
4
,
pp. 123-163
Persistent link: https://www.econbiz.de/10009521271
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