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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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Forecasting lifetime credit losses : modelling considerations for complying with the new FASB and IASB current expected credit loss models
McPhail, Joseph E.; McPhail, Lihong Lu - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 375-388
Persistent link: https://www.econbiz.de/10011346965
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Assessment of model risk in the aggregate : contribution of quantification
Brotcke, Liming; Brastow, Raymond T. - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 16-43
Persistent link: https://www.econbiz.de/10012041830
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The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
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A volatility-based single parameter Loss Given Default model
Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011306351
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Lessons learned from AQR : essential elements of the model review process
Beinker, Mark; Ivanov, Yuri; Mainik, Andreas; Irina, Ursachi - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 76-82
Persistent link: https://www.econbiz.de/10010526456
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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526459
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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526460