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Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Canals-Cerdá, José J. - In: The journal of risk model validation 12 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011991951
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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 prudent loss given default estimation for mortgages. II
Ozdemir, Bogie; Huang, Emma - In: The journal of risk model validation 15 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
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A prudent loss given default estimation for mortgages
Ozdemir, Bogie - In: The journal of risk model validation 10 (2016) 4, pp. 39-54
Persistent link: https://www.econbiz.de/10011587711
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Multirating decision model validation : the relevance of the quality of securitization issues
Pen̋a-Cerezo, Miguel Á.; Rodríguez Castellanos, Arturo; … - In: The journal of risk model validation 7 (2013) 3, pp. 35-58
Persistent link: https://www.econbiz.de/10010480649
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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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Research on equity release mortgage risk diversification with financial innovation : reinsurance usage
Chen, Kuo-Shing - In: The journal of risk model validation 10 (2016) 2, pp. 35-55
Persistent link: https://www.econbiz.de/10011527479
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Dynamic credit score modeling with short-term and long-term memories : the case of Freddie Mac’s database
Sousa, Maria Rocha; Gama, João; Brandão, Elísio - In: The journal of risk model validation 10 (2016) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10011485152
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Comprehensive capital analysis and review stress tests : is regression the only tool for loss projection?
Siarka, Pawel; Chan, Lina - In: The journal of risk model validation 9 (2015) 3, pp. 71-99
Persistent link: https://www.econbiz.de/10011410324