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Stress-testing German credit portfolios
Mager, Ferdinand; Schmieder, Christian - In: The journal of risk model validation 3 (2009/10) 4, pp. 27-45
Persistent link: https://www.econbiz.de/10009262133
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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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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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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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Stress testing a retail loan portfolio : an error correction model opproach
Assouan, Steeve - In: The journal of risk model validation 6 (2012) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10009539316
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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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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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Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 11 (2017) 1, pp. 21-47
Persistent link: https://www.econbiz.de/10011671176
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An advanced hybrid classification technique for credit risk evaluation
Wu, Chong; Gao, Dekun; Ma, Qianqun; Wang, Qi; Lu, Yu - In: The journal of risk model validation 13 (2019) 3, pp. 73-88
Persistent link: https://www.econbiz.de/10012140261
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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