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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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Modeling issuer default risk in basket default swaps : the impact of default correlation
Wu, Po-cheng - In: The journal of risk model validation 6 (2012) 3, pp. 67-82
Persistent link: https://www.econbiz.de/10009658573
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Backtesting for counterparty credit risk
Schnitzler, Sebastian; Rother, Niklas; Plank, Holger; … - In: The journal of risk model validation 8 (2014) 4, pp. 3-17
Persistent link: https://www.econbiz.de/10010506586
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A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Kwon, Tae Yeon - In: The journal of risk model validation 10 (2016) 3, pp. 21-48
Persistent link: https://www.econbiz.de/10011587693
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An alternative statistical framework for credit default prediction
Uddin, Mohammad S.; Chi, Guotai; Habib, Tabassum; Zhou, Ying - In: The journal of risk model validation 14 (2020) 2, pp. 65-101
Persistent link: https://www.econbiz.de/10014335963
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Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley - In: The journal of risk model validation 8 (2014) 3, pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
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Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre; Levy dit Vehel, Pierre Emmanuel; … - In: The journal of risk model validation 7 (2013) 3, pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
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Dynamic credit score modeling with short-term and long-term memories : the case of Freddie Mac’s database
Sousa, Maria Rocha; Gama, João; Brandão, Elísio - In: The journal of risk model validation 10 (2016) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10011485152
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Comprehensive capital analysis and review stress tests : is regression the only tool for loss projection?
Siarka, Pawel; Chan, Lina - In: The journal of risk model validation 9 (2015) 3, pp. 71-99
Persistent link: https://www.econbiz.de/10011410324