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The journal of risk model validation
Journal of econometrics
114
NBER working paper series
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57
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47
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46
Working paper / National Bureau of Economic Research, Inc.
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39
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36
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36
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36
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32
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30
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29
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28
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26
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26
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25
Journal of economic dynamics & control
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International journal of production research
24
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ECONIS (ZBW)
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
A new automated model validation tool for financial institutions
Fan, Lingling
;
Schneider, Alex
;
Joumaa, Mazin
- In:
The journal of risk model validation
17
(
2023
)
3
,
pp. 59-85
Persistent link: https://www.econbiz.de/10014485777
Saved in:
3
Model risk in mortality-linked contingent claims pricing
Peters, Gareth
;
Yan, Hongxuan
;
Chan, Jennifer So Kuen
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
Saved in:
4
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
5
Model risk qualification based on relative entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
Saved in:
6
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:
7
Model risk tiering : an exploration of industry practices and principles
Kiritz, Nick
;
Ravitz, Miles
;
Levonian, Mark E.
- In:
The journal of risk model validation
13
(
2019
)
2
,
pp. 47-77
Persistent link: https://www.econbiz.de/10012051689
Saved in:
8
Credit portfolio stress testing using transition matrixes
Neagu, Radu
;
Lipsa, Gabriel
;
Wu, Jing
;
Lee, Jake
;
Karm, …
- In:
The journal of risk model validation
13
(
2019
)
2
,
pp. 79-108
Persistent link: https://www.econbiz.de/10012051692
Saved in:
9
Validation of the backtesting process under the targeted review of internal models : practical recommendations for probability of default models
Prorokowski, Lukasz
- In:
The journal of risk model validation
13
(
2019
)
2
,
pp. 109-147
Persistent link: https://www.econbiz.de/10012051694
Saved in:
10
Quantification of model risk in stress testing and scenario analysis
Skoglund, Jimmy
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012020265
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
Saved in:
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
Saved in:
13
A model combination approach to developing robust models for credit risk stress testing : an application to a stressed economy
Papadopoulos, Georgios
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 49-72
Persistent link: https://www.econbiz.de/10011671179
Saved in:
14
Bayesian analysis in an aggregate loss model : validation of the structure functions
Hernández-Bastida, Agustín
;
Pérez-Sánchez, José María
- In:
The journal of risk model validation
11
(
2017
)
3
,
pp. 19-47
Persistent link: https://www.econbiz.de/10011762992
Saved in:
15
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:
16
Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian
;
Du, Zunwei
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
Saved in:
17
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:
18
Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Yang, Bill Huajian
- In:
The journal of risk model validation
8
(
2014
)
3
,
pp. 33-48
Persistent link: https://www.econbiz.de/10010423905
Saved in:
19
Liquidity effects on value-at-risk limits : construction of a new VaR model
Madoroba, Sunny B. Walter
;
Kruger, Jan W.
- In:
The journal of risk model validation
8
(
2014
)
4
,
pp. 19-46
Persistent link: https://www.econbiz.de/10010506585
Saved in:
20
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:
21
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:
22
A realistic approach for estimating and modeling loss given default
Malkani, Rakesh
- In:
The journal of risk model validation
6
(
2012
)
2
,
pp. 103-116
Persistent link: https://www.econbiz.de/10009572300
Saved in:
23
Modeling issuer default risk in basket default swaps : the impact of default correlation
Wu, Po-cheng
- In:
The journal of risk model validation
6
(
2012
)
3
,
pp. 67-82
Persistent link: https://www.econbiz.de/10009658573
Saved in:
24
Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
Hui, Cho H.
;
Wong, Tak-chuen
;
Lo, Chi-fai
;
Ming Xi Huang
- In:
The journal of risk model validation
6
(
2012
)
3
,
pp. 27-49
Persistent link: https://www.econbiz.de/10009658577
Saved in:
25
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:
26
On bounds for model calibration uncertainty
Deryabin, Mikhail
- In:
The journal of risk model validation
6
(
2012
)
1
,
pp. 27-45
Persistent link: https://www.econbiz.de/10009539314
Saved in:
27
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:
28
On the use of t copulas for economic capital calculations
Maher, David G.
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 21-36
Persistent link: https://www.econbiz.de/10009356748
Saved in:
29
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:
30
Integrating macroeconomic risk factors into credit portfolio models
Hamerle, Alfred
;
Dartsch, Andreas
;
Jobst, Rainer
; …
- In:
The journal of risk model validation
5
(
2011
)
2
,
pp. 3-24
Persistent link: https://www.econbiz.de/10009356832
Saved in:
31
Reverse stress tests with bottom-up approaches
Grundke, Peter
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 71-90
Persistent link: https://www.econbiz.de/10009356845
Saved in:
32
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:
33
Variable selection in default risk models
Amendola, Alessandra
;
Restaino, Marialuisa
;
Sensini, Luca
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 3-19
Persistent link: https://www.econbiz.de/10009356851
Saved in:
34
The effect of variant sample sizes and default rates on validation metrics for probabillity of default models
Li, David
;
Bhariok, Ruchi
;
Neagu, Radu
- In:
The journal of risk model validation
5
(
2011/12
)
4
,
pp. 49-74
Persistent link: https://www.econbiz.de/10009422492
Saved in:
35
The fallacy of an overly simplified asymptotic single-risk-factor model
Long, Kete
- In:
The journal of risk model validation
5
(
2011/12
)
4
,
pp. 27-48
Persistent link: https://www.econbiz.de/10009422493
Saved in:
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