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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Quantifying model risk within a CreditRisk+ framework
Fischer, Matthias; Mertel, Alexander - In: The journal of risk model validation 6 (2012) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10009539312
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Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin; Biljon, L. van; Haasbroek, L. J.; … - In: The journal of risk model validation 13 (2019) 4, pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
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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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Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin - In: The journal of risk model validation 17 (2023) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
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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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Expected loss and impact of risk : backtesting parameter-based expected loss in a Basel II framework
Reitgruber, Wolfgang - In: The journal of risk model validation 7 (2013) 3, pp. 59-84
Persistent link: https://www.econbiz.de/10010480648
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An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Fischer, Matthias; Kaufmann, Florian - In: The journal of risk model validation 8 (2014) 2, pp. 23-37
Persistent link: https://www.econbiz.de/10010394659
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Comparative analysis of credit risk models for loan portfolios
Han, Chulwoo - In: The journal of risk model validation 8 (2014) 2, pp. 3-22
Persistent link: https://www.econbiz.de/10010394661