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Modeling credit risk in the presence of central bank and government intervention
Engelmann, Bernd - In: The journal of risk model validation 16 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014540302
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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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Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
Lin, Liyi; Heemskerk, Marc; Dekker, Peter - In: The journal of risk model validation 12 (2018) 3, pp. 29-49
Persistent link: https://www.econbiz.de/10011991966
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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
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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
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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
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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
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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
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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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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