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Predicting sovereign credit ratings for portfolio stress testing
Campino, Jonas de Oliveira; Galizia, Frederico; … - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 229-241
Persistent link: https://www.econbiz.de/10012650468
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The marginal impact of predicted climate risk scenarios on portfolio credit risk stress testing
Campino, Jonas de Oliveira - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 124-137
Persistent link: https://www.econbiz.de/10014286639
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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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The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
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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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Bank credit risk management and rating migration analysis on the business cycle
Gavalas, Dimitris; Syriopoulos, Theodore - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 122-143
shifts for risk rating transition matrices. The empirical findings are useful and critical for banks to align to Basel …
Persistent link: https://www.econbiz.de/10010373357
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Scoring models and credit risk : the case of cooperative banks in Poland
Kil, Krzysztof; Ciukaj, Radoslaw; Chrzanowska, Justyna - In: Risks : open access journal 9 (2021) 7, pp. 1-15
cooperative banks on the example of banks belonging to the BPS S.A. association in the period between 2004 and 2020. We used a … regarding the sector of Polish cooperative banks, analysis of financial data of cooperative banks, construction of an … banks). Our research confirmed the significant impact of the use of scoring models in lending activities on the value of the …
Persistent link: https://www.econbiz.de/10012599592
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Credit rating migration risk and interconnectedness in a corporate lending network
Kanno, Masayasu - In: Research in international business and finance 54 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012581392
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Financial liability stress tests : an approach based on the use of a rating migration matrix
Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...
Persistent link: https://www.econbiz.de/10012303645
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Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
Penikas, Henry - In: Risk management : an international journal 25 (2023) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014372840