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The journal of risk model validation
Insurance / Mathematics & economics
217
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121
European journal of operational research : EJOR
110
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106
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37
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1
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
2
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:
3
Does the asymmetric exponential power distribution improve systemic risk measurement?
Wu, Shu
;
Chen, Huiqiong
;
Li, Helong
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10014485620
Saved in:
4
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
5
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:
6
Nonconvex noncash risk measures
Cong, Chang
;
Zhao, Peibiao
- In:
The journal of risk model validation
15
(
2021
)
2
,
pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
Saved in:
7
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
8
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
9
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
Saved in:
10
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:
11
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
12
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
13
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
14
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
Saved in:
15
Model risk management : from epistemology to corporate governance
Hassani, Bertrand
- In:
The journal of risk model validation
13
(
2019
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012140252
Saved in:
16
A study on window-size selection for threshold and bootstrap value-at-risk models
Smith, Anri
;
Huang, Chun-Kai
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012373140
Saved in:
17
Validation of index and benchmark assignment : adequacy of capturing tail risk
Prorokowski, Lukasz
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 71-105
Persistent link: https://www.econbiz.de/10012373148
Saved in:
18
Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin
;
Biljon, L. van
;
Haasbroek, L. J.
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
Saved in:
19
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
20
A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter
;
Bloxham, Nicholas
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
Saved in:
21
The validation of filtered historical value-at-risk models
Gurrola-Perez, Pedro
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 85-112
Persistent link: https://www.econbiz.de/10011869735
Saved in:
22
Shrunk volatility value-at-risk : an application on US balanced portfolios
Colucci, Stefano
- In:
The journal of risk model validation
12
(
2018
)
2
,
pp. 1-62
Persistent link: https://www.econbiz.de/10011912252
Saved in:
23
Analytical expressions of risk quantities for composite models
Sarabia Alzaga, José Maria
;
Calderín-Ojeda, Enrique
- In:
The journal of risk model validation
12
(
2018
)
3
,
pp. 75-101
Persistent link: https://www.econbiz.de/10011991971
Saved in:
24
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
Shaker-Akhtekhane, Saeed
;
Seighali, Mohsen
;
Poorabbas, …
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011992013
Saved in:
25
Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
Saved in:
26
The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick
- In:
The journal of risk model validation
11
(
2017
)
3
,
pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
Saved in:
27
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:
28
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
29
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
30
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
31
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
32
Risk reduction in a time series momentum trading strategy
Hong, KiHoon
;
Park, KiBong
;
Lee, Yong Woong
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 55-70
Persistent link: https://www.econbiz.de/10011587716
Saved in:
33
A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco
;
Colucci, Stefano
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
Saved in:
34
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
35
Backtesting general spectral risk measures with application to expected shortfall
Costanzino, Nick
;
Curran, Mike
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 21-31
Persistent link: https://www.econbiz.de/10010516722
Saved in:
36
The role of the loss function in value-at-risk comparisons
Abad, Pilar
;
Benito Muela, Sonia
;
López Martin, Carmen
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Saved in:
37
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
38
Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
Saved in:
39
Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley
- In:
The journal of risk model validation
8
(
2014
)
3
,
pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
Saved in:
40
Backtesting value-at-risk tail losses on a dynamic portfolio
Graham, Alasdair
;
Pál, János
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 59-96
Persistent link: https://www.econbiz.de/10010394657
Saved in:
41
An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Fischer, Matthias
;
Kaufmann, Florian
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10010394659
Saved in:
42
Comparative analysis of credit risk models for loan portfolios
Han, Chulwoo
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 3-22
Persistent link: https://www.econbiz.de/10010394661
Saved in:
43
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/10009780648
Saved in:
44
Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
Yang, Bill Huajian
- In:
The journal of risk model validation
7
(
2013/2014
)
4
,
pp. 3-19
Persistent link: https://www.econbiz.de/10010480647
Saved in:
45
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:
46
Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre
;
Levy dit Vehel, Pierre Emmanuel
; …
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
Saved in:
47
Individual and flexible expected shortfall backtesting
Righi, Marcelo Brutti
;
Ceretta, Sergio Paulo
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 3-20
Persistent link: https://www.econbiz.de/10010480652
Saved in:
48
Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco
- In:
The journal of risk model validation
6
(
2012
)
2
,
pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
Saved in:
49
Quantifying model risk within a CreditRisk+ framework
Fischer, Matthias
;
Mertel, Alexander
- In:
The journal of risk model validation
6
(
2012
)
1
,
pp. 47-76
Persistent link: https://www.econbiz.de/10009539312
Saved in:
50
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/10009692956
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