Narrow search
Showing 1 - 10 of 48
Cover Image
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
Cover Image
The usefulness of inaccurate models : financial risk management "in the wild"
Millo, Yuval; MacKenzie, Donald A. - In: The journal of risk model validation 3 (2009/10) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10003848866
Cover Image
Reconciling credit correlations
Chernih, Andrew; Henrard, Luc; Vanduffel, Steven - In: The journal of risk model validation 4 (2010/11) 2, pp. 47-64
Persistent link: https://www.econbiz.de/10003995410
Cover Image
Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
Cover Image
Further recipes for quantitative reverse stress testing
Grundke, Peter - In: The journal of risk model validation 6 (2012) 2, pp. 81-102
Persistent link: https://www.econbiz.de/10009572301
Cover Image
Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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/10009356746
Cover Image
On the use of t copulas for economic capital calculations
Maher, David G. - In: The journal of risk model validation 5 (2011) 3, pp. 21-36
Persistent link: https://www.econbiz.de/10009356748
Cover Image
Reverse stress tests with bottom-up approaches
Grundke, Peter - In: The journal of risk model validation 5 (2011) 1, pp. 71-90
Persistent link: https://www.econbiz.de/10009356845
Cover Image
Variable selection in default risk models
Amendola, Alessandra; Restaino, Marialuisa; Sensini, Luca - In: The journal of risk model validation 5 (2011) 1, pp. 3-19
Persistent link: https://www.econbiz.de/10009356851