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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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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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Assessing financial model risk
Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
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Modeling and forecasting realized covariance matrices with accounting for leverage
Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139
Persistent link: https://www.econbiz.de/10012038156
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Credit portfolio stress testing using transition matrixes
Neagu, Radu; Lipsa, Gabriel; Wu, Jing; Lee, Jake; Karm, … - In: The journal of risk model validation 13 (2019) 2, pp. 79-108
Persistent link: https://www.econbiz.de/10012051692
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Generalized entropy and model uncertainty
Meyer-Gohde, Alexander - In: Journal of economic theory 183 (2019), pp. 312-343
Persistent link: https://www.econbiz.de/10012131342
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Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of financial economics 132 (2019) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012136929
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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
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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018
Persistent link: https://www.econbiz.de/10011993276
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The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?
Hill, Jon R. - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10012065278