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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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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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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
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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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Integrating macroeconomic risk factors into credit portfolio models
Hamerle, Alfred; Dartsch, Andreas; Jobst, Rainer; … - In: The journal of risk model validation 5 (2011) 2, pp. 3-24
Persistent link: https://www.econbiz.de/10009356832
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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
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A proposal for a validation methodology for the discriminatory power of a rating system over time
Blümke, Oliver - In: The journal of risk model validation 5 (2011) 1, pp. 21-44
Persistent link: https://www.econbiz.de/10009356850
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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
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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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