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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
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Modeling issuer default risk in basket default swaps : the impact of default correlation
Wu, Po-cheng - In: The journal of risk model validation 6 (2012) 3, pp. 67-82
Persistent link: https://www.econbiz.de/10009658573
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Evaluating the credit exposure of interest rate derivatives under the real-world measure
Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95
Persistent link: https://www.econbiz.de/10011992271
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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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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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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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Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
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A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
Shaker-Akhtekhane, Saeed; Seighali, Mohsen; Poorabbas, … - In: The journal of risk model validation 12 (2018) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10011992013
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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The validation of filtered historical value-at-risk models
Gurrola-Perez, Pedro - In: The journal of risk model validation 12 (2018) 1, pp. 85-112
Persistent link: https://www.econbiz.de/10011869735