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The performance of value-at-risk models during the crisis
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 4 (2010/11) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10003971967
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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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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
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An integrated stress testing framework via Markov switching simulation
Chen, Wei; Skoglund, Jimmy - In: The journal of risk model validation 7 (2013) 2, pp. 3-27
Persistent link: https://www.econbiz.de/10009780655
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On the time scaling af value-at-risk with trading
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 5 (2011) 4, pp. 17-26
Persistent link: https://www.econbiz.de/10009422495
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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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On the correlation and parametric approaches to calculation of credit value adjustment
Pang, Tao; Chen, Wei; Li, Le - In: The journal of risk model validation 11 (2017) 3, pp. 49-67
Persistent link: https://www.econbiz.de/10011762993
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An integrated stress testing framework via Markov switching simulation
Chen, Wei; Skoglund, Jimmy - In: The journal of risk model validation 7 (2013) 2, pp. 3-27
Persistent link: https://www.econbiz.de/10010185315
Cover Image
The performance of value-at-risk models during the crisis
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 4 (2010/11) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10009911489
Cover Image
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/10009911507