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AERB : developing AIRB PIT-TTC PD models using external ratings
Chawla, Gaurav; Forest, Lawrence R. <Jr.>; Aguals, Scott D. - In: The journal of risk model validation 9 (2015) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10011449860
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Addendum to Rubtsov and Petrov (2016) : “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration”
Pyttlik, Torsten; Rubtsov, Mark; Petrov, Alexander - In: The journal of risk model validation 11 (2017) 1, pp. 95-97
Persistent link: https://www.econbiz.de/10011671771
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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