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Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117
Persistent link: https://www.econbiz.de/10009780648
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Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87
Persistent link: https://www.econbiz.de/10014336043
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A framework for loss given default validation of retail portfolios
Hlawatsch, Stefan; Reichling, Peter - In: The journal of risk model validation 4 (2010) 1, pp. 23-48
Persistent link: https://www.econbiz.de/10003971971
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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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Area under the curve maximization method in credit scoring
Miura, Kakeru; Yamashita, Satoshi; Eguchi, Shinto - In: The journal of risk model validation 4 (2010/11) 2, pp. 3-25
Persistent link: https://www.econbiz.de/10003995408
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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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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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Measures of predictive success for rating functions
Ostrowski, Sebastian; Reichling, Peter - In: The journal of risk model validation 5 (2011) 2, pp. 61-78
Persistent link: https://www.econbiz.de/10009357004
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Stress-testing probability of default and migration rate with respect to Basel II requirements
Miu, Peter; Ozdemir, Bogie - In: The journal of risk model validation 3 (2009/10) 4, pp. 3-38
Persistent link: https://www.econbiz.de/10009262130