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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Kreditrisiko"
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Basel Accord
Kreditrisiko
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60
Risk measure
60
Theorie
21
Theory
21
Risikomanagement
20
Risk management
20
Portfolio selection
18
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18
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15
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15
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13
Statistische Verteilung
13
Credit risk
11
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11
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11
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value-at-risk (VaR)
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Estimation theory
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backtesting
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value-at-risk
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Fischer, Matthias
2
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1
Biljon, L. van
1
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Cai, Chunlin
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Chen, Jiun-Lin
1
Cooper, James
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Fei, Glenn
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Ha Tran Manh
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Panman, Kevin
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Verster, Tanja
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Wu, Biao
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Yang, Bill Huajian
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The journal of risk model validation
Journal of banking & finance
33
The journal of credit risk : published quarterly by Incisive Media
20
Journal of risk
19
Journal of risk management in financial institutions
18
Risks : open access journal
17
Discussion paper / Tinbergen Institute
16
Econometric Institute research papers
16
Insurance / Mathematics & economics
14
The journal of operational risk
14
Economic modelling
9
Working paper
9
International journal of theoretical and applied finance
8
Journal of financial services research : JFSR
8
Journal of financial stability
8
Journal of international financial markets, institutions & money
8
Discussion paper / Deutsche Bundesbank
7
European journal of operational research : EJOR
7
Research paper series / Swiss Finance Institute
7
School of Accounting, Finance and Economics & FEMARC working paper series
7
The North American journal of economics and finance : a journal of financial economics studies
7
Discussion paper
6
Brennpunkt Risikomanagement und Regulierung
5
Dresdner Beiträge zu quantitativen Verfahren
5
Finance research letters
5
International journal of economics and financial issues : IJEFI
5
SpringerLink / Bücher
5
The European journal of finance
5
The journal of structured finance
5
Wiley finance series
5
Working papers
5
Bundesbank Series 2 Discussion Paper
4
CIRRELT
4
Computational economics
4
Finance and stochastics
4
International review of financial analysis
4
Journal of economic dynamics & control
4
Journal of financial intermediation
4
Journal of financial regulation and compliance : an international journal
4
Journal of forecasting
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ECONIS (ZBW)
15
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
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
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:
12
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:
13
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:
14
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:
15
Value-at-risk forecasts : a comparison analysis of extreme-value versus classical approaches
Ünal, Gözde
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 59-76
Persistent link: https://www.econbiz.de/10009356742
Saved in:
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