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Probability of default validation : a single-year and a multiyear methodology for the Basel framework
Blümke, Oliver - In: The journal of risk model validation 6 (2012) 2, pp. 47-79
Persistent link: https://www.econbiz.de/10009572303
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Reconciling credit correlations
Chernih, Andrew; Henrard, Luc; Vanduffel, Steven - In: The journal of risk model validation 4 (2010/11) 2, pp. 47-64
Persistent link: https://www.econbiz.de/10003995410
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Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
Yang, Bill Huajian - In: The journal of risk model validation 7 (2013/2014) 4, pp. 3-19
Persistent link: https://www.econbiz.de/10010480647
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Analytical expressions of risk quantities for composite models
Sarabia, José María; Calderín-Ojeda, Enrique - In: The journal of risk model validation 12 (2018) 3, pp. 75-101
Persistent link: https://www.econbiz.de/10011991971
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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
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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
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The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
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Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
Lin, Liyi; Heemskerk, Marc; Dekker, Peter - In: The journal of risk model validation 12 (2018) 3, pp. 29-49
Persistent link: https://www.econbiz.de/10011991966
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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
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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