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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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Credit risk forecasting modelling and projections under IFRS 9
Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101
Persistent link: https://www.econbiz.de/10012041846
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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
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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Excess credit risk and banks' default risk : an application of default prediction models to banks in emerging market economies
Godlewski, Christophe J. - In: Dynamic models and their applications in emerging markets, (pp. 13-40). 2005
Persistent link: https://www.econbiz.de/10003225334
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Essays on systemic risk and financial stability
Kund, Arndt-Gerrit - 2021
Persistent link: https://www.econbiz.de/10012818075
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Predicting bank defaults in Ukraine : a macro-micro perspective
Hlazunov, Anatolii; Verchenko, Olesia - In: Visnyk Nacionalʹnoho Banku Ukraïny (2020) 250, pp. 33-44
Persistent link: https://www.econbiz.de/10012587231
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Systemic risk in the financial system : capital shortfalls under Brexit, the US elections and the Italian referendum
Engle, Robert F.; Zazzara, Cristiano - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 97-120
Persistent link: https://www.econbiz.de/10012041807
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It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910300
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It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10009512724