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Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia; Herrero, Juan Antonio de Juan - In: The journal of risk model validation 4 (2010/11) 1, pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
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An econometric model to quantify benchmark downturn loss given default on residential mortgages
Morone, Marco; Cornaglia, Anna - In: The journal of risk model validation 4 (2010/11) 3, pp. 27-51
Persistent link: https://www.econbiz.de/10008699884
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A realistic approach for estimating and modeling loss given default
Malkani, Rakesh - In: The journal of risk model validation 6 (2012) 2, pp. 103-116
Persistent link: https://www.econbiz.de/10009572300
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Stress-testing probability of default and migration rate with respect to Basel II requirements
Miu, Peter; Ozdemir, Bogie - In: The journal of risk model validation 3 (2009/10) 4, pp. 3-38
Persistent link: https://www.econbiz.de/10009262130
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The effect of introducing economic variables into credit scorecards : an example from invoice discounting
Zhang, Jie; Thomas, Lyn C. - In: The journal of risk model validation 9 (2015) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10010516718
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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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Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
Hui, Cho H.; Wong, Tak-chuen; Lo, Chi-fai; Ming Xi Huang - In: The journal of risk model validation 6 (2012) 3, pp. 27-49
Persistent link: https://www.econbiz.de/10009658577
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A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark; Petrov, Alexander - In: The journal of risk model validation 10 (2016) 2, pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
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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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What can we learn from what a machine has learned? : interpreting credit risk machine learning models
Bharodia, Nehalkumar; Chen, Wei - In: The journal of risk model validation 15 (2021) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012817198