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Empirical validation of the credit rating migration model for estimating the migration boundary
Lin, Yang; Liang, Jin - In: The journal of risk model validation 15 (2021) 2, pp. 39-61
Persistent link: https://www.econbiz.de/10012817214
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A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo; Rouabah, Abdelaziz; Theal, John - In: The journal of risk model validation 7 (2013/2014) 4, pp. 21-51
Persistent link: https://www.econbiz.de/10010480646
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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
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Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
Chen, Ling-Jia; Zhang, Runchi - In: The journal of risk model validation 16 (2022) 4, pp. 77-112
Persistent link: https://www.econbiz.de/10014239852
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Risk contagion and bank stability : the role of credit risk and liquidity risk
Ding, Lei; Zhuang, Yaming; Wang, Hu - In: The journal of risk model validation 16 (2022) 4, pp. 113-130
Persistent link: https://www.econbiz.de/10014239855
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Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia; Herrero, Juan Antonio de Juan - In: The journal of risk model validation 4 (2010/11) 1, pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
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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
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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
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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
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Special issue: Credit portfolio modeling
2011
Persistent link: https://www.econbiz.de/10009356805