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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Liquidity effects on value-at-risk limits : construction of a new VaR model
Madoroba, Sunny B. Walter; Kruger, Jan W. - In: The journal of risk model validation 8 (2014) 4, pp. 19-46
Persistent link: https://www.econbiz.de/10010506585
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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
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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