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Empirical validation of the credit rating migration model for estimating the migration boundary
Lin, Yang; Liang, Jin - In: The journal of risk model validation 15 (2021) 2, pp. 39-61
Persistent link: https://www.econbiz.de/10012817214
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam - In: The journal of risk model validation 9 (2015) 2, pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
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Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Stress testing of retail mortgages : a study based on non-stationary Markov chains and t-copula simulation
Liu, Chang; Guo, Min; Nassar, Raja - In: The journal of risk model validation 4 (2010/11) 2, pp. 65-80
Persistent link: https://www.econbiz.de/10003995413
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Scientific stochastic volatility models for the European energy market : forecasting and extracting conditional volatility
Dahlen, Kai Erik; Solibakke, Per Bjarte - In: The journal of risk model validation 6 (2012) 4, pp. 17-66
Persistent link: https://www.econbiz.de/10009692962
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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