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~isPartOf:"Econometric Institute research papers"
~isPartOf:"The journal of risk model validation"
~subject:"Modellierung"
~subject:"Volatilität"
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Search: subject:"Modellbildung"
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Modellierung
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Scientific modelling
74
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28
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27
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27
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18
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McAleer, Michael
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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Econometrisch Instituut <Rotterdam>
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Econometric Institute research papers
The journal of risk model validation
Journal of econometrics
114
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60
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51
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ECONIS (ZBW)
74
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
A new automated model validation tool for financial institutions
Fan, Lingling
;
Schneider, Alex
;
Joumaa, Mazin
- In:
The journal of risk model validation
17
(
2023
)
3
,
pp. 59-85
Persistent link: https://www.econbiz.de/10014485777
Saved in:
3
Model risk in mortality-linked contingent claims pricing
Peters, Gareth
;
Yan, Hongxuan
;
Chan, Jennifer So Kuen
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
Saved in:
4
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
Saved in:
5
Model risk qualification based on relative entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
Saved in:
6
Penalized estimation of panel vector autoregressive models : a panel LASSO approach
Camehl, Annika
-
2019
Persistent link: https://www.econbiz.de/10012131829
Saved in:
7
Fair allocations for cooperation problems in vaccination
Westerink-Duijzer, Evelot
;
Schlicher, Loe
;
Musegaas, Marieke
-
2019
Persistent link: https://www.econbiz.de/10011987036
Saved in:
8
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
9
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
10
Model risk tiering : an exploration of industry practices and principles
Kiritz, Nick
;
Ravitz, Miles
;
Levonian, Mark E.
- In:
The journal of risk model validation
13
(
2019
)
2
,
pp. 47-77
Persistent link: https://www.econbiz.de/10012051689
Saved in:
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