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Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework

Yang, Bill Huajian - In: The journal of risk model validation 8 (2014) 3, pp. 33-48

Persistent link: https://www.econbiz.de/10010423905

Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default

Rubtsov, Mark - In: The journal of risk model validation 15 (2021) 4, pp. 51-74

Persistent link: https://www.econbiz.de/10013173372

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - In: Review of quantitative finance and accounting 55 (2020) 1, pp. 163-199

Persistent link: https://www.econbiz.de/10012233223

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

An axiomatic approach to default risk and model uncertainty in rating systems

Nendel, Max; Streicher, Jan - In: Journal of mathematical economics 109 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014474758

Portfolio selections for insurers with ambiguity aversion : minimizing the probability of ruin

Liu, Bing; Zhang, Lihong; Zhou, Ming - In: Applied economics 56 (2024) 12, pp. 1423-1439

Persistent link: https://www.econbiz.de/10014471101

An investigation of model risk in a market with jumps and stochastic volatility

Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658

Persistent link: https://www.econbiz.de/10011493990

Model risk in the over-the-counter market

Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784

Persistent link: https://www.econbiz.de/10013206897

The rise and fall of S&P500 variance futures

Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167

Persistent link: https://www.econbiz.de/10009779314

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