This paper investigates the accuracy of internal rating based (IRB) models in measuring credit risk. We contribute to the growing debate on the current prudential regulatory framework by investigating the use of validated IRB models in promoting efficient risk management practises. Our empirical...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...