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Good risk measures, bad statistical assumptions, ugly risk forecasts
Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543
Persistent link: https://www.econbiz.de/10014543997
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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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What do bankrupcty prediction models tell us about banking regulation? : evidence from statistical and learning approaches
Durand, Pierre; LeQuang, Gaëtan - 2021
Persistent link: https://www.econbiz.de/10012437102
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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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The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi; Dionne, Georges - 2021
Persistent link: https://www.econbiz.de/10012545817
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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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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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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828
Persistent link: https://www.econbiz.de/10010227817
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364