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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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Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011587660
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Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge
Wilkens, Sascha; Predescu, Mirela - In: The journal of risk model validation 12 (2018) 4, pp. 41-67
Persistent link: https://www.econbiz.de/10011992266
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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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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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Value-at-risk and the global financial crisis
Ha Tran Manh; Mai Ngoc Tran - In: The journal of risk model validation 17 (2023) 1, pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
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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
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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