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Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Canals-Cerdá, José J. - In: The journal of risk model validation 12 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011991951
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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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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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On the choice of liquidity horizon for incremental risk charges : are the incentives of banks and regulators aligned?
Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 5 (2011) 3, pp. 37-57
Persistent link: https://www.econbiz.de/10009356746
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Addressing the issue of conservatism in probalility of default estimates : a validation tool
Branco, Carlos - In: The journal of risk model validation 5 (2011) 3, pp. 3-19
Persistent link: https://www.econbiz.de/10009356785
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A practical anatomy of incremental risk charge modeling
Martin, Marcus R. W.; Lutz, Helmut; Wehn, Carsten - In: The journal of risk model validation 5 (2011) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10009356817
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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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Validation mythology of maturity adjustment formula for Basel II capital requirement
Petrov, Dmitry; Pomazanov, Michael - In: The journal of risk model validation 3 (2009/10) 3, pp. 81-97
Persistent link: https://www.econbiz.de/10009262131
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Credit portfolio models in the presence of forward-looking stress events
Denev, Alexander - In: The journal of risk model validation 7 (2013) 1, pp. 83-121
Persistent link: https://www.econbiz.de/10009770132
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A methodology for point-in-time : through-the-cycle probability of default decomposition in risk classification systems
Carlehed, Magnus; Petrov, Alexander - In: The journal of risk model validation 6 (2012) 3, pp. 3-25
Persistent link: https://www.econbiz.de/10009658578