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~isPartOf:"The journal of risk model validation"
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The journal of risk model validation
Journal of banking & finance
542
IMF Working Papers
442
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194
The journal of fixed income
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
88
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1
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo
;
Rouabah, Abdelaziz
;
Theal, John
- In:
The journal of risk model validation
7
(
2013/2014
)
4
,
pp. 21-51
Persistent link: https://www.econbiz.de/10010480646
Saved in:
2
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
Saved in:
3
An econometric model to quantify benchmark downturn loss given default on residential mortgages
Morone, Marco
;
Cornaglia, Anna
- In:
The journal of risk model validation
4
(
2010/11
)
3
,
pp. 27-51
Persistent link: https://www.econbiz.de/10008699884
Saved in:
4
A realistic approach for estimating and modeling loss given default
Malkani, Rakesh
- In:
The journal of risk model validation
6
(
2012
)
2
,
pp. 103-116
Persistent link: https://www.econbiz.de/10009572300
Saved in:
5
Probability of default validation : a single-year and a multiyear methodology for the Basel framework
Blümke, Oliver
- In:
The journal of risk model validation
6
(
2012
)
2
,
pp. 47-79
Persistent link: https://www.econbiz.de/10009572303
Saved in:
6
Value-at-risk forecasts : a comparison analysis of extreme-value versus classical approaches
Ünal, Gözde
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 59-76
Persistent link: https://www.econbiz.de/10009356742
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Special issue: Credit portfolio modeling
2011
Persistent link: https://www.econbiz.de/10009356805
Saved in:
10
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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