Journal of Risk Model Validation

From Journal of Risk Model Validation
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Dissecting initial margin forecasts: models, limitations and backtesting: Vladimir Chorniy and Sergii Arkhypov
Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies: Jiaming Liu, Ming Jia, Yanan Hao and Lu Wang
Lessons for academic research from model risk management in financial institutions: Mahmood Alaghmandan and Olga Streltchenko
Research on the multifractal volatility of Chinese banks based on the synthetic minority oversampling technique, edited nearest neighbors and long short-term memory: Jingyuan Huang, Yunhan Qu and Cheng Li
A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting: Xinyong Lu, Yuchong Li, Jiaxin Wang, Xuewei Liu and Jiahui Wei
Litigation risk assessment: a novel quantitative recencyâ€“frequencyâ€“monetary model: Guodong Shi, Jianjie Huang, Jiahao Hou and Zeliang Zhang
Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports: Szymon Lis, Mariusz Kubkowski, Olimpia Borkowska, DobromiÅ‚ Serwa and JarosÅ‚aw Kuparnik
Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages: Zilong Liu and Hongyan Liang
Forecasting Indiaâ€™s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period: A. Mansurali, Sarbjit Singh Oberoi, P. Mary Jeyanthi and Sayan Banerjee
The impact of deterioration in rating-model discriminatory power on expected losses: Siyi Zhou and Gary van Vuuren
A study of Chinaâ€™s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution: Guanghui Han, Panpan Liu, Yueqiang Zhang and Xiaobo Li
Financial distress prediction with optimal decision trees based on the optimal sampling probability: Guotai Chi, Cun Li, Ying Zhou and Taotao Li
Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks: Sergio Caprioli, Emanuele Cagliero and Riccardo Crupi
Default prediction based on a locally weighted dynamic ensemble model for imbalanced data: Jin Xing, Guotai Chi and Ancheng Pan
Shapley values as an interpretability technique in credit scoring: Hendrik Andries du Toit, Willem DaniÃ«l Schutte and Helgard Raubenheimer
Online attention and directorsâ€™ and officersâ€™ liability insurance: evidence from Chinese listed firms: Can Lin and Huobao Xie
Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique: Shanshan Wang, Guotai Chi, Ying Zhou and Li Chen
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay: MartÃn Egozcue
A new automated model validation tool for financial institutions: Lingling Fan, Alex Schneider and Mazin Joumaa
Overfitting in portfolio optimization: Matteo Maggiolo and Oleg Szehr
On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the â€œcumulative state of market incompletenessâ€: Oghenovo Adewale Obrimah
Bayesian backtesting for counterparty risk models: Mante Zelvyte and Matthias Arnsdorf
A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting: Guotai Chi and Mohamed Abdelaziz Mandour
The validation of different systemic risk measurement models: Hu Wang and Shuyang Jiang
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models: David Murphy
Value-at-risk and the global financial crisis: Manh Ha Tran and Ngoc Mai Tran
Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models: Chunlin Cai
Does the asymmetric exponential power distribution improve systemic risk measurement?: Shu Wu, Huiqiong Chen and Helong Li
Internet financial risk assessment in China based on a particle swarm optimizationâ€“analytic hierarchy process and fuzzy comprehensive evaluation: Zeng Li, Wee-Yeap Lau and Elya Nabila Abdul Bahri
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals: Mengting Fan, Zan Mo, Qizhi Zhao, Hongming Gao, Hongwei Liu and Hui Zhu
Performance validation of representative sample-balancing methods in loan credit-scoring scenarios: Ling-Jia Chen and Runchi Zhang
Scenario design for macrofinancial stress testing: Emanuele De Meo
Risk contagion and bank stability: the role of credit risk and liquidity risk: Lei Ding, Yaming Zhuang and Hu Wang
Model risk in mortality-linked contingent claims pricing: Gareth W Peters, Hongxuan Yan and Jennifer Chan
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio: Michael Jacobs
Model risk quantification based on relative entropy: Daniel Arrieta
Quantifying model selection risk in macroeconomic sensitivity models: Joseph L. Breeden and Nikolay Dobrinov
General bounds on the area under the receiver operating characteristic curve and other performance measures when only a single sensitivity and specificity point is known: Roger M. Stein
Expected shortfall model based on a neural network: Sanja Doncic, Nemanja Pantic, Marija LakiÄ‡eviÄ‡ and Nikola RadivojeviÄ‡
An end-to-end deep learning approach to credit scoring using CNN + XGBoost on transaction data: Lars Ole Hjelkrem, Petter Eilif de Lange and Erik Nesset
Can we take the â€œstressâ€ out of stress testing? Applications of generalized structural equation modeling to consumer finance: JosÃ© Canals-CerdÃ¡
Modeling credit risk in the presence of central bank and government intervention: Bernd Engelmann
The importance of window size: a study on the required window size for optimal-quality market risk models: Mateusz BuczyÅ„ski and Marcin Chlebus
Estimating value-at-risk using quantile regression and implied volatilities: Petter E. de Lange, Morten Risstad and Sjur Westgaard
Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective: Tong Zhang and Zhichong Zhao
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default: Mark Rubtsov
Evaluation of backtesting techniques on risk models with different horizons: Grigorios Kontaxis and Ioannis E. Tsolas
Backtesting of a probability of default model in the point-in-timeâ€“through-the-cycle context: Mark Rubtsov
A prudent loss given default estimation for mortgages. II: Bogie Ozdemir and Emma Huang
A pricing model with dynamic credit rating transition matrixes: Yun-Cheng Tsai, Sheng-Hsuan Lin and Yuh-Dauh Lyuu
The value-at-risk of time-series momentum and contrarian trading strategies: Keunbae Ahn, Jihye Park and KiHoon Hong
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelsonâ€“Siegel to machine learning: Vilen Abramov, Christopher Atchison and Zhengye Bian
Validation nightmare: the slotting approach under International Financial Reporting Standard 9: Lukasz Prorokowski, Oleg Deev and Jena-Daniel Guigou
Nonconvex noncash risk measures: Chang Cong and Peibiao Zhao
Empirical validation of the credit rating migration model for estimating the migration boundary: Yang Lin and Jin Liang
What can we learn from what a machine has learned? Interpreting credit risk machine learning models: Nehalkumar Bharodia and Wei Chen
Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers: Wojciech Starosta
Research on listed companiesâ€™ credit ratings, considering classification performance and interpretability: Zhe Li, Guotai Chi, Ying Zhou and Wenxuan Liu
Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts: BÅ‚aÅ¼ej KochaÅ„ski
A verification model to capture option risk and hedging based on a modified underlying beta: Chuan-He Shen and Yang Liu
A hybrid model for credit risk assessment: empirical validation by real-world credit data: Guotai Chi, Mohammad Shamsu Uddin, Tabassum Habib, Ying Zhou, Md Rashidul Islam and Md Asad Iqbal Chowdhury
How accurate is the accuracy ratio in credit risk model validation?: Marco van der Burgt
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization: Guotai Chi, Kunpeng Yuan, Ying Zhou and Lingling Gong
Statistical properties of the population stability index: Bilal Yurdakul and Joshua Naranjo
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry: Zhifeng Wang and Fangying Wei
Benchmarking loss given default discount rates: Harald Scheule and Stephan Jortzik
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets: Marcin FaÅ‚dziÅ„ski and Magdalena OsiÅ„ska
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies: Danyang Lv, Chong Wu and Linxiao Dong
An alternative statistical framework for credit default prediction: Mohammad Shamsu Uddin, Guotai Chi, Tabassum Habib and Ying Zhou
Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns: AndrÃ© Santos and JoÃ£o Guerra
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation: Keith Law, Wai Keung Li and Philip Yu
Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states: Mateusz BuczyÅ„ski and Marcin Chlebus
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses: Bill Huajian Yang, Glenn Fei, Biao Wu, Kaijie Cui and Zunwei Du
Measuring economic cycles in data: Joseph L. Breeden
Incremental value-at-risk: Peter Mitic, James Cooper and Nicholas Bloxham
Volatility forecasting: the role of internet search activity and implied volatility: Arabinda Basistha, Alexander Kurov and Marketa Halova Wolfe
Validation of index and benchmark assignment: adequacy of capturing tail risk: Lukasz Prorokowski
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk: Sjur Westgaard, Gisle Hoel Ã…rhus, Marina Frydenberg and Stein Frydenberg
Quantification of the estimation risk inherent in loss distribution approach models: Kevin Panman, Liesl van Biljon, L.J. Haasbroek, Willem DaniÃ«l Schutte and Tanja Verster
A study on window-size selection for threshold and bootstrap value-at-risk models: Anri Smith and Chun-Kai Huang
Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study: Kaiqiao Li, Kan He, Lizhou Nie, Wei Zhu and Pei Fen Kuan
Model risk management: from epistemology to corporate governance: Bertrand Hassani
An advanced hybrid classification technique for credit risk evaluation: Chong Wu, Dekun Gao, Qianqun Ma, Qi Wang and Yu Lu
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses: Bill Huajian Yang, Biao Wu, Kaijie Cui, Zunwei Du and Glenn Fei
Risk data validation under BCBS 239: Lukasz Prorokowski
Model risk tiering: an exploration of industry practices and principles: Nick Kiritz, Miles Ravitz and Mark Levonian
Credit portfolio stress testing using transition matrixes: Radu Neagu, Gabriel Lipsa, Jing Wu, Jake Lee, Stephane Karm and John Jordan
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models: Lukasz Prorokowski
An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data: Mohammad Zoynul Abedin, Chi Guotai, Fahmida - E - Moula, Tong Zhang and M. Kabir Hassan
On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation: Xin Zhang and Tony Tung
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting: Cathy W. S. Chen, Tsai-Yu Lin and T. Y. Huang
Quantification of model risk in stress testing and scenario analysis: Jimmy Skoglund
The utility of Basel III rules on excessive violations of internal risk models: Wayne Tarrant
Evaluating the credit exposure of interest rate derivatives under the real-world measure: Takashi Yasuoka
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets: Saeed Shaker-Akhtekhane, Mohsen Seighali and Solmaz Poorabbas
Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice: Carsten Wehn
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios: JosÃ© Canals-CerdÃ¡
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework: Liyi Lin, Marc Heemskerk and Peter Dekker
Evaluating the risk performance of online peer-to-peer lending platforms in China: Chong Wu, Dong Zhang and Ying Wang
Shrunk volatility value-at-risk: an application on US balanced portfolios: Stefano Colucci
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence: Jiun-Lin (Alex) Chen and Hyoseok (David) Hwang
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation: Bill Huajian Yang
Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge: Sascha Wilkens and Mirela Predescu
Underperforming performance measures? A review of measures for loss given default models: Katarzyna (Kasia) Bijak and Lyn C. Thomas
A central limit theorem formulation for empirical bootstrap value-at-risk: Peter Mitic and Nicholas Bloxham
The validation of filtered historical value-at-risk models: Pedro Gurrola-Perez
Validation of profit and loss attribution models for equity derivatives: Dilip B. Madan and King Wang
A risk-sensitive approach for stressed transition probability matrixes: Ahmet Perilioglu, Karina Perilioglu and Sukriye Tuysuz
The profit-and-loss attribution test: Peter Thompson, Hayden Luo and Kevin Fergusson
Governance and organizational requirements for effective model risk management: Dennis E. Bennett
New historical bootstrap value-at-risk model: Nikola RadivojeviÄ‡, Zorana Sobat-Matic and Borjana B. Mirjanic
Bayesian analysis in an aggregate loss model: validation of the structure functions: AgustÃn HernÃ¡ndez-Bastida, JosÃ© MarÃa PÃ©rez-SÃ¡nchez and M. Pilar FernÃ¡ndez-SÃ¡nchez
The use of the triangular approximation for some complicated risk measurement calculations: Nick Georgiopoulos
On the correlation and parametric approaches to calculation of credit value adjustment: Tao Pang, Wei Chen and Le Li
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing: Bill Huajian Yang
A practical maturity assessment method for model risk management in banks: Liesl van Biljon and L.J. Haasbroek
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing: Michael Jacobs
Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic: MartÃn Egozcue, Luis Fuentes GarcÃa, Konstantinos V. Katsikopoulos and Michael Smithson
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies: Jiaming Liu and Chong Wu
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk: Fen-Ying Chen
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming: Katsuhiro Tanaka
Goodness-of-fit for discrete-choice models of borrower default: Arden Hall
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk: Jimmy Skoglund and Wei Chen
Addendum to Rubtsov and Petrov (2016): â€œA point-in-timeâ€“through-the-cycle approach to rating assignment and probability of default calibrationâ€: Torsten Pyttlik, Mark Rubtsov and Alexandre Petrov
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy: Georgios Papadopoulos
Asset correlations and procyclical impact: Kung-Cheng Ho, Jiun-Lin (Alex) Chen and Shih-Cheng Lee
Point-in-time probability of default term structure models for multiperiod scenario loss projection: . .
Risk reduction in a time series momentum trading strategy: KiHoon Hong, KiBong Park and Yong Woong Lee
A prudent loss given default estimation for mortgages: Bogie Ozdemir
A quick tool to forecast value-at-risk using implied and realized volatilities: Francesco Cesarone and Stefano Colucci
Consensus information and consensus rating: a simulation study on rating aggregation: Christoph Lehmann and Daniel Tillich
Some options for evaluating significant deterioration under IFRS 9: Gaurav Chawla, Lawrence Forest and Scott Aguais
A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information: Tae Yeon Kwon
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glostenâ€“Jagannathanâ€“Runkle generalized autoregressive conditional heteroscedasticity model: Imed Gammoudi, Mohamed El Ghourabi and Lotfi Belkacem
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation: . . and Zunwei Du
A point-in-timeâ€“through-the-cycle approach to rating assignment and probability of default calibration: Mark Rubtsov and Alexandre Petrov
Value-at-risk estimation with the Carrâ€“Gemanâ€“Madanâ€“Yor process: an empirical study on foreign exchange rates: Sun-Yong Choi
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries: Nikola Curcic, Dragana Milojkovic, Vuk Miletic and Nikola RadivojeviÄ‡
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage: Kuo-Shing Chen
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Macâ€™s database: Maria Rocha Sousa and JoÃ£o Gama and ElÃsio BrandÃ£o
Value-at-risk time scaling: a Monte Carlo approach: Moepa Malataliana and Michael Rigotard
An application of sensitivity analysis to hedge funds: Greg N. Gregoriou and Razvan Pascalau
Banksâ€™ expected equity-to-asset ratio bounds under foreign exchange risk: MartÃn Egozcue and Luis Fuentes GarcÃa
Downside risk measure performance in the presence of breaks in volatility: Johannes Rohde
Liquidity stress testing: a model for a portfolio of credit lines: Marco Geidosch
AERB: developing AIRB PITâ€“TTC PD models using external ratings: Gaurav Chawla, Lawrence Forest and Scott Aguais
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans: Sisi Liang and Joseph Breeden
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?: Pawel Siarka and Lina Chan
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio: Michael Jacobs and Ahmet K. Karagozoglu and Frank J. Sensenbrenner
Loss given default modeling: an application to data from a Polish bank: Marek KarwaÅ„ski and MichaÅ‚ Gostkowski and Piotr JaÅ‚owiecki
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach: Jean Paul Chung Wing and Preethee Nunkoo Gonpot
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression: Marie Steen and Sjur Westgaard and Ole GjÃ¸lberg
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation: Bill Huajian Yang and Zunwei Du
Backtesting Solvency II value-at-risk models using a rolling horizon: Miriam Loois
Biased benchmarks: Lawrence R. Forest and Gaurav Chawla and Scott D. Aguais
The effect of introducing economic variables into credit scorecards: an example from invoice discounting: Jie Zhang and Lyn C. Thomas
Country risk index and sovereign ratings: do they foresee financial crises?: Nerea San-MartÃn-Albizuri and Arturo RodrÃguez-Castellanos
The role of the loss function in value-at-risk comparisons: Pilar Abad and Sonia Benito Muela and Carmen LÃ³pez MartÃn
Backtesting general spectral risk measures with application to expected shortfall: Nick Costanzino and Mike Curran
The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolioâ€™s value-at-risk estimate: Jung-Bin Su
Backtesting for counterparty credit risk: Sebastian Schnitzler, Niklas Rother and Holger Plank and Peter GlÃ¶ÃŸner
Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models: Dany Allan Nicholas Ng Cheong Vee and Preethee Nunkoo Gonpot and Noor Ul Hacq Sookia
Liquidity effects on value-at-risk limits: construction of a new VaR model: Sunny B. Walter Madoroba and Jan W. Kruger
Modeling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework: Bill Huajian Yang
Conditioned likelihood estimation of nonnormal distributions: risk estimation of credit portfolios in stressed markets: Kingsley Oteng-Amoako
Validation of term structure forecasts with factor models: Alexander B. Matthies
Sensitivity analysis of risk measurement for catastrophe losses caused by natural disasters: Myung Suk Kim
Comparative analysis of credit risk models for loan portfolios: Chulwoo Han
Backtesting value-at-risk tail losses on a dynamic portfolio: Alasdair Graham and JÃ¡nos PÃ¡l
An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions: Matthias Fischer and Florian Kaufmann
Review, theory and implementation of convertible bonds for commercial investment: Raj Kunwar, Zhihui Yang and Jonathan Lai and Jerrold Cline
Modeling portfolio risk by risk discriminatory trees and random forests: Bill Huajian Yang
A proposed framework for backtesting loss given default models: Gert Loterman, Michiel Debruyne, Karlien Vanden Branden and Tony Van Gestel and Christophe Mues
Credit scoring optimization using the area under the curve: Anne Kraus and Helmut KÃ¼chenhoff
A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions: Matthias Fischer and Marius Pfeuffer
Response to the comment by L. R. Forest Jr., G. Chawla and S. D. Aguais: Magnus Carlehed and Alexander Petrov
Comment in response to â€œA methodology for point-in-timeâ€“through-the-cycle probability of default decomposition in risk classification systemsâ€ by M. Carlehed and A. Petrov: Lawrence R. Forest and Gaurav Chawla and Scott D. Aguais
Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models: Bill Huajian Yang
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests: Paolo Guarda and Abdelaziz Rouabah and John Theal
The daily returns of the Portuguese Stock Index: a distributional characterization: Sameer R. Rege and JoÃ£o C. A. Teixeira and AntÃ³nio G. de Menezes
Multirating decision model validation: the relevance of the quality of securitization issues: Miguel Ã . PeÃ±a-Cerezo and Arturo RodrÃguez-Castellanos and Francisco J. IbÃ¡Ã±ez-HernÃ¡ndez
Individual and flexible expected shortfall backtesting: Marcelo Brutti Righi and Paulo Sergio Ceretta
Expected loss and Impact of Risk: backtesting parameter-based expected loss in a Basel II framework: Wolfgang Reitgruber
Toward model value-at-risk: bespoke CDO tranches, a case study: Pierre Cohort and Pierre-Emmanuel Levy dit Vehel and FrÃ©dÃ©ric Patras
An algorithmic model for retail credit portfolio segmentation: Andy J. Y. Yeh and Jose A. Lopez
An integrated stress testing framework via Markov switching simulation: Wei Chen and Jimmy Skoglund
Modeling value-at-risk for international portfolios in different jump-diffusion processes: Fen-Ying Chen
Probability of default validation: introducing the likelihood-ratio test and power considerations: Oliver BlÃ¼mke
Loss given default modeling: a comparative analysis: Olga Yashkir and Yuri Yashkir
Economic capital model validation: a comparative study: Zhenya Hu and Amnon Levy and Jing Zhang
Computing a standard error for the Gini coefficient: an application to credit risk model validation: Marius-Cristian Frunza
Credit portfolio models in the presence of forward-looking stress events: Alexander Denev
Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility: Kai Erik Dahlen and Per Bjarte Solibakke
Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets: Dany Ng Cheong Vee and Preethee Nunkoo Gonpot and Noor Sookia
Capturing value-at-risk in futures markets: a revised filtered historical simulation approach: Chang-Cheng Changchien and Chu-Hsiung Lin and Wei-Shun Kao
Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation: Dario Brandolini and Stefano Colucci
Modeling issuer default risk in basket default swaps: the impact of default correlation: Po-Cheng Wu
Empirically testing for the locationâ€“scale condition: a review of the economic literature: Michael Vassalos and Carl R. Dillon and Paul D. Childs
A methodology for point-in-timeâ€“through-the-cycle probability of default decomposition in risk classification systems: Magnus Carlehed and Alexander Petrov
Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?: Cho-Hoi Hui, Tak-Chuen Wong and Chi-Fai Lo and Ming-Xi Huang
Further recipes for quantitative reverse stress testing: Peter Grundke
Probability of default validation: a single-year and a multiyear methodology for the Basel framework: Oliver BlÃ¼mke
Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis: Marco Bee
A realistic approach for estimating and modeling loss given default: Rakesh Malkani
The effect of imperfect data on default prediction validation tests: Heather Russell and Douglas Dwyer and Qing Kang Tang
Quantifying model risk within a CreditRisk+ framework: Matthias Fischer and Alexander Mertel
On bounds for model calibration uncertainty: Mikhail V. Deryabin
Stress testing a retail loan portfolio: an error correction model approach: Steeve Assouan
A practical anatomy of IRC modelling: Marcus R.W. Martin, Helmut Lutz and Carsten S. Wehn
Stress-testing probability of default and migration rate with respect to Basel II requirements: Peter Miu and Bogie Ozdemir
On the use of t-copulas for economic capital calculations: David G. Maher
Addressing the issue of conservatism in probability of default estimates: a validation tool: Carlos Branco
Empirical performance of loss given default prediction models: Benjamin Bade, Daniel RÃ¶sch and Harald Scheule
Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios: Meko M.C. So and Lyn C. Thomas
A proposal for a validation methodology for the discriminatory power of a rating system over time: Oliver BlÃ¼mke
Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches: GÃ¶zde Ãœnal
A regime-switching approach to model-based stress testing: Adam P. Tashman
Managing capital buffers in the Pillar II framework: designing an effective ICAAP/ORSA to manage procyclicality and to reconcile short-term and long-term views of capital: Peter Miu and Bogie Ozdemir
Wavelet analysis of business cycles for validation of probability of default: what is the influence of the current credit crisis on model validation?: Marco J. van der Burgt
The Swedish inflation fan charts: an evaluation of the Riksbank's inflation density forecasts: Kevin Dowd
On the time scaling of value-at-risk with trading: Jimmy Skoglund, Donald Erdman and Wei Chen
Parametric and non-parametric estimation of value-at-risk: Deepak Jadhav and T. V. Ramanathan
Stress testing CDOs: Alfred Hamerle and Kilian Plank
The distribution of defaults and Bayesian model validation: Douglas W. Dwyer
Validating mortgage prepayment forecasts using a dynamic bivariate-choice regression method: Tingting Ji
An assessment of the internal rating-based approach in Basel II: Simone Varotto
Validation of banks' internal rating systems: a challenging task?: Stefan BlÃ¶chwitz
Reverse stress tests with bottom-up approaches: Peter Grundke
An econometric model to quantify benchmark downturn loss given default on residential mortgages: Marco Morone and Anna Cornaglia
Risk evaluation in financial risk management: prediction limits and backtesting: Ralf Pauly and Jens Fricke
Downturn LGD for Hong Kong mortgage loan portfolios: Daniel RÃ¶sch and Harald Scheule
The usefulness of inaccurate models: financial risk management 'in the wild': Yuval Millo and Donald MacKenzie
Calibrating low-default portfolios, using the cumulative accuracy profile: Marco J. van der Burgt
On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?: Jimmy Skoglund and Wei Chen
Dynamic backtesting of value-at-risk models under regime change: Victor H. de la Pena and Ricardo Rivera
Breaking correlation breakdowns: non-parametric estimation of downturn correlations and their application in credit risk models: Oleg Burd
Impact analysis of VaR methodologies on regulatory capital: Lampros Kalyvas and Athanasios Sfetsos
Backtesting the RPIX inflation fan charts: Kevin Dowd
Measures of predictive success for rating functions: Sebastian Ostrowski and Peter Reichling
Discriminatory power and predictions of defaults of structural credit risk models: Tak-Chuen Wong, Cho-hoi Hui and Chi-fai Lo
Country default probabilities: assessing and backtesting: Stefan Huschens, Alexander Karmann, Dominik Maltritz and Konstantin Vogl
Validation mythology of maturity adjustment formula for Basel II capital requirement: Dmitry Petrov and Michael Pomazanov
Testing retail lending models for missing cross-terms: Joseph L. Breeden
Area under the curve maximization method in credit scoring: Kakeru Miura and Satoshi Yamashita and Shinto Eguchi
On the rating and pricing of mortgage portfolios through structured finance: Kaj NystrÃ¶m
Worst-case asset, default and survival time correlations: Steffi HÃ¶se and Stefan Huschens
Benchmarking default prediction models: pitfalls and remedies in model validation: Roger M. Stein
The relationship between default and economic cycle across countries for retail portfolios: Joseph L. Breeden and Lyn Thomas
Risk contributions, information and reverse stress testing: Jimmy Skoglund and Wei Chen
Forecasting industry sector default rates through dynamic factor models: Andrea Cipollini and Giuseppe Missaglia
Risk prediction: a DWARF-like approach: Marc S. Paolella and Sven C. Steude
The effect of variant sample sizes and default rates on validation metrics for probability of default models: David Li, Ruchi Bhariok and Radu Neagu
Discriminatory power: an obsolete validation criterion?: Manuel Lingo and Gerhard Winkler
Estimation of intra-sector asset correlations: Christian Meyer
Understanding performance measures for validating default risk models: a review of performance metrics: Jorge R. Sobehart and Sean C. Keenan
A framework for loss given default validation of retail portfolios: Stefan Hlawatsch and Peter Reichling
Measuring model risk: Philipp Sibbertsen, Gerhard Stahl and Corinna Luedtke
Rating philosophy and dynamic properties of internal rating systems: a general framework and an application to backtesting: Marco Morone and Anna Cornaglia
Stress-testing retail loan portfolios with dual-time dynamics: Joseph L. Breeden and Lyn Thomas and John W. McDonald III
Modeling and evaluating the credit risk of mortgage loans: a primer: Robert Van Order
Multiple hypotheses testing of transition matrices: Victor de la Pena, Adrian Hernandez-del-Valle and Ricardo Rivera
Using approximate results for validating value-at-risk: Jimmy Hong, John Knight and Steve Satchell and Bernd Scherer
A note on the Berkowitz test with discrete distributions: Alfred Hamerle and Kilian Plank
Portfolio crash testing: making sense of extreme event exposures: Arcady Novosyolov and Daniel Satchkov
Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation: Chang Liu and Min Guo and Raja Nassar
Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches: Stefan Huschens and Christoph Lehmann and Daniel Tillich
Estimating and validating long-run probability of default with respect to Basel II requirements: Peter Miu and Bogie Ozdemir
Effective modeling of wrong way risk, counterparty credit risk capital and alpha in Basel II: Juan Carlos Garcia Cespedes, Juan Antonio de Juan Herrero and Dan Rosen and David Saunders
Does hedging with implied volatility factors improve the hedging efficiency of barrier options?: Szymon Borak and Matthias R. Fengler and Wolfgang K. HÃ¤rdle
Stress-testing German credit portfolios: Ferdinand Mager and Christian Schmieder
Stress-testing credit risk parameters: an application to retail loan portfolios: Daniel RÃ¶sch and Harald Scheule
Variable selection in default risk models: Alessandra Amendola, Marialuisa Restaino and Luca Sensini
A framework for stress-testing banks' credit risk: Jim Hock-Yuen Wong, Ka-Fai Choi and Pak-Wing Fong
The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks: George A. Christodoulakis and Stephen E. Satchell
Value-at-risk forecasts with conditional volatility for structured products: Fen-Ying Chen
Validation of credit default probabilities using multiple-testing procedures: Sebastian DÃ¶hler
Risk capital stress-testing framework and the new capital adequacy rules: HÃ¥kan Andersson and Andreas Lindell
Backtesting VaR models:a two-stage procedure: Timotheos Angelidis and Stavros Degiannakis
Internal credit rating systems: methodology and economic value: Radu Neagu and Sean Keenan and Kete Chalermkraivuth
Probability of default estimation and validation within the context of the credit cycle: Oliver BlÃ¼mke
The fallacy of an overly simplified asymptotic single-risk-factor model: Kete Long
Reconciling credit correlations: Andrew Chernih and Luc Henrard and Steven Vanduffel
Recalibrating credit risk models â€“ a theoretical perspective with practical implications: Lawrence G. Antioch
Value-at-risk levels implied by risk estimators drawn from historical data: Frederik S. Herzberg
The performance of value-at-risk models during the crisis: Jimmy Skoglund, Donald Erdman and Wei Chen
Validation techniques and performance metrics for loss given default models: David Li, Ruchi Bhariok, Sean Keenan and Stefano Santilli
Integrating macroeconomic risk factors in credit portfolio models: Alfred Hamerle, Andreas Dartsch, Rainer Jobst and Kilian Plank
Temporal dependence in multi-step density forecasting models: Kevin Dowd

Journal of Risk Model Validation

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