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Journal of Risk Model Validation

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1.

A Prudent Loss Given Default Estimation for Mortgages. II

Journal of Risk Model Validation, Vol. 15, No. 4
Number of pages: 28 Posted: 13 Dec 2021
Accepted Paper Series
affiliation not provided to SSRN and Independent
2.

Calibration of Rating Grades to Point-in-Time and Through-the-Cycle Levels of Probability of Default

Journal of Risk Model Validation, Vol. 15, No. 4
Number of pages: 24 Posted: 13 Dec 2021
Accepted Paper Series
Independent
Downloads 1
3.

Evaluation of Backtesting Techniques on Risk Models with Different Horizons

Journal of Risk Model Validation, Vol. 15, No. 4
Number of pages: 22 Posted: 13 Dec 2021
Accepted Paper Series
National Technical University of Athens and National Technical University of Athens (NTUA)
4.

Comprehensive Capital Analysis and Review Consistent Yield Curve Stress Testing: From Nelson–Siegel to Machine Learning

Journal of Risk Model Validation, Vol. 15, No. 3, 2021
Number of pages: 34 Posted: 08 Dec 2021
Accepted Paper Series
Independent, Independent and Independent
Downloads 3
5.

The Value-at-Risk of Time-Series Momentum and Contrarian Trading Strategies

Journal of Risk Model Validation, Vol. 15, No. 3
Number of pages: 30 Posted: 10 Nov 2021
Accepted Paper Series
affiliation not provided to SSRN, Hongik University and Hongik University
6.

A Pricing Model with Dynamic Credit Rating Transition Matrices

Journal of Risk Model Validation, Vol. 15, No. 3
Number of pages: 20 Posted: 10 Nov 2021
Accepted Paper Series
Soochow University - School of Big Data Management, Kronos Research and National Taiwan University
Downloads 1
7.

Backtesting of a Probability of Default Model in the Point-in-Time–Through-the-Cycle Context

Journal of Risk Model Validation, Vol. 15, No. 3
Number of pages: 38 Posted: 10 Nov 2021
Accepted Paper Series
Independent
Downloads 1
8.

Empirical Validation of the Credit Rating Migration Model for Estimating the Migration Boundary

Journal of Risk Model Validation, Vol. 15, No. 2
Number of pages: 24 Posted: 11 Oct 2021
Accepted Paper Series
Independent and Independent
Downloads 1
9.

Nonconvex Noncash Risk Measures

Journal of Risk Model Validation, Vol. 15, No. 2
Number of pages: 16 Posted: 06 Oct 2021
Accepted Paper Series
Nanjing University of Science and Technology - School of Science and Nanjing University of Science and Technology - School of Science
10.

Validation Nightmare: The Slotting Approach Under International Financial Reporting Standard 9

Journal of Risk Model Validation, Vol. 15, No. 2
Number of pages: 38 Posted: 06 Oct 2021
Accepted Paper Series
Masaryk University - Faculty of Economics and Administration, Masaryk University and affiliation not provided to SSRN
11.

What Can We Learn From What a Machine has Learned? Interpreting Credit Risk Machine Learning Models

Journal of Risk Model Validation, Vol. 15, No. 2
Number of pages: 22 Posted: 06 Oct 2021
Accepted Paper Series
SAS Institute Inc. and SAS Institute Inc.
12.

A Verification Model to Capture Option Risk and Hedging Based on a Modified Underlying Beta

Journal of Risk Model Validation, Vol. 15, No. 1
Number of pages: 20 Posted: 23 Mar 2021
Accepted Paper Series
Shandong Women’s University and Northeast Agricultural University
13.

Research on Listed Companies’ Credit Ratings, Considering Classification Performance and Interpretability

Journal of Risk Model Validation, Vol. 15, No. 1
Number of pages: 30 Posted: 23 Mar 2021
Accepted Paper Series
Dalian University of Technology, Dalian University of Technology, Dalian University of Technology and Dalian University of Technology
14.

Bifractal Receiver Operating Characteristic Curves: A Formula for Generating Receiver Operating Characteristic Curves in Credit-Scoring Contexts

Journal of Risk Model Validation, Vol. 15, No. 1
Number of pages: 18 Posted: 23 Mar 2021
Accepted Paper Series
Gda?sk University of Technology - Faculty of Management and Economics
15.

Beyond the Contract: Client Behavior from Origination to Default as the New Set of the Loss Given Default Risk Drivers

Journal of Risk Model Validation, Vol. 15, No. 1
Number of pages: 24 Posted: 26 Feb 2021
Accepted Paper Series
University of Lodz
16.

An Empirical Evaluation of Large Dynamic Covariance Models in Portfolio Value-at-Risk Estimation

Journal of Risk Model Validation, Vol. 14, No. 2
Number of pages: 20 Posted: 22 Feb 2021
Accepted Paper Series
The University of Hong Kong - Department of Statistics and Actuarial Science, The University of Hong Kong and The University of Hong Kong - Department of Statistics & Actuarial Science
17.

A FAVAR Modeling Approach to Credit Risk Stress Testing and Its Application to the Hong Kong Banking Industry

Journal of Risk Model Validation, Vol. 14, No. 3
Number of pages: 22 Posted: 17 Feb 2021
Accepted Paper Series
Shanghai Commercial Bank and Bank of China (Hong Kong)
Downloads 1
18.

Benchmarking Loss given Default Discount Rates

Journal of Risk Model Validation, Vol. 14, No. 3
Number of pages: 44 Posted: 17 Feb 2021
Accepted Paper Series
University of Technology Sydney (UTS) - School of Finance and Economics and Global Credit Data
19.

A K-means++-improved Radial Basis Function Neural Network Model for Corporate Financial Crisis Early Warning: An Empirical Model Validation for Chinese Listed Companies

Journal of Risk Model Validation, Vol. 14, No. 3
Number of pages: 24 Posted: 17 Feb 2021
Accepted Paper Series
Harbin Institute of Technology - School of Management, Harbin Institute of Technology - School of Management and Harbin Institute of Technology - School of Management
20.

The Use of Range-based Volatility Estimators in Testing for Granger Causality in Risk on International Capital Markets

Journal of Risk Model Validation, Vol. 14, No. 3
Number of pages: 28 Posted: 17 Feb 2021
Accepted Paper Series
Nicolaus Copernicus University and Nicolaus Copernicus University
21.

An Alternative Statistical Framework for Credit Default Prediction

Journal of Risk Model Validation, Vol. 14, No. 2
Number of pages: 38 Posted: 17 Feb 2021
Accepted Paper Series
Dalian University of Technology, Dalian University of Technology, Dalian University of Technology and Dalian University of Technology
22.

Risk-neutral Densities: Advanced Methods of Estimating Nonnormal Options Underlying Asset Prices and Returns

Journal of Risk Model Validation, Vol. 14, No. 2
Number of pages: 24 Posted: 17 Feb 2021
Accepted Paper Series
Bank of England and ISEG, Universidade de Lisboa
23.

Old-Fashioned Parametric Models are Still the Best: A Comparison of Value-at-Risk Approaches in Several Volatility States

Journal of Risk Model Validation, Vol. 14, No. 2 (2019)
Number of pages: 20 Posted: 17 Feb 2021
Accepted Paper Series
University of Warsaw, Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
24.

Statistical Properties of the Population Stability Index

Journal of Risk Model Validation, Vol. 14, No. 4
Number of pages: 12 Posted: 10 Feb 2021
Accepted Paper Series
USAA and Western Michigan University
25.

A Hybrid Model for Credit Risk Assessment: Empirical Validation by Real-World Credit Data

Journal of Risk Model Validation, Vol. 14, No. 4
Number of pages: 40 Posted: 10 Feb 2021
Accepted Paper Series
Dalian University of Technology, Dalian University of Technology, Dalian University of Technology, Dalian University of Technology, East West University and International Islamic University Chittagong
26.

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility

Journal of Risk Model Validation, Vol. 14, No. 1
Number of pages: 30 Posted: 09 Feb 2021
Accepted Paper Series
West Virginia University - College of Business & Economics, Skidmore College - Department of Economics and West Virginia University - College of Business & Economics

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27.

Incremental Value-at-Risk

Journal of Risk Model Validation, Vol. 14, No. 1
Number of pages: 38 Posted: 09 Feb 2021
Accepted Paper Series
Santander Bank, Santander Bank and Santander Bank
28.

Measuring Economic Cycles in Data

Journal of Risk Model Validation, Vol. 14, No. 1
Number of pages: 18 Posted: 08 Feb 2021
Accepted Paper Series
Prescient Models LLC
29.

International Financial Reporting Standard 9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses

Journal of Risk Model Validation, Vol. 14, No. 1
Number of pages: 16 Posted: 08 Feb 2021
Accepted Paper Series
affiliation not provided to SSRN, Independent, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1
30.

Determination of Weights for an Optimal Credit Rating Model Based on Default and Nondefault Distance Maximization

Journal of Risk Model Validation, Vol. 14, No. 4
Number of pages: 23 Posted: 25 Jan 2021
Accepted Paper Series
Dalian University of Technology, Dalian University of Technology, Dalian University of Technology and affiliation not provided to SSRN
31.

How Accurate Is the Accuracy Ratio in Credit Risk Model Validation?

Journal of Risk Model Validation, Vol. 14, No. 4
Number of pages: 23 Posted: 25 Jan 2021
Accepted Paper Series
Nationale Nederlanden Group