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Nonconvex noncash risk measures
Cong, Chang; Zhao, Peibiao - In: The journal of risk model validation 15 (2021) 2, pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
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Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
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Validation of index and benchmark assignment : adequacy of capturing tail risk
Prorokowski, Lukasz - In: The journal of risk model validation 13 (2019) 4, pp. 71-105
Persistent link: https://www.econbiz.de/10012373148
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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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The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
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Analytical expressions of risk quantities for composite models
Sarabia Alzaga, José Maria; Calderín-Ojeda, Enrique - In: The journal of risk model validation 12 (2018) 3, pp. 75-101
Persistent link: https://www.econbiz.de/10011991971
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Model risk qualification based on relative entropy
Arrieta, Daniel - In: The journal of risk model validation 16 (2022) 3, pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
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The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin; Osińska, Magdalena - In: The journal of risk model validation 14 (2020) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
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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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The validation of different systemic risk measurement models
Wang, Hu; Jiang, Shuyang - In: The journal of risk model validation 17 (2023) 2, pp. 83-97
Persistent link: https://www.econbiz.de/10014485771