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Undated material is presented at the end, although it may be more recent than other items
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- 2161251 Temporal dependence in multi-step density forecasting models
by Kevin Dowd - 2161252 Integrating macroeconomic risk factors in credit portfolio models
by Alfred Hamerle, Andreas Dartsch, Rainer Jobst, Kilian Plank - 2161253 Validation techniques and performance metrics for loss given default models
by David Li, Ruchi Bhariok, Sean Keenan, Stefano Santilli - 2161254 The performance of value-at-risk models during the crisis
by Jimmy Skoglund & Donald Erdman & Wei Chen - 2161255 Value-at-risk levels implied by risk estimators drawn from historical data
by Frederik S. Herzberg - 2161256 Recalibrating credit risk models – a theoretical perspective with practical implications
by Lawrence G. Antioch - 2161257 Reconciling credit correlations
by Andrew Chernih & Luc Henrard and Steven Vanduffel - 2161258 The fallacy of an overly simplified asymptotic single-risk-factor model
by Kete Long - 2161259 Probability of default estimation and validation within the context of the credit cycle
by Oliver Blümke - 2161260 Internal credit rating systems: methodology and economic value
by Radu Neagu, Sean Keenan and Kete Chalermkraivuth - 2161261 Backtesting VaR models:a two-stage procedure
by Timotheos Angelidis & Stavros Degiannakis - 2161262 Risk capital stress-testing framework and the new capital adequacy rules
by HÃ¥kan Andersson & Andreas Lindell - 2161263 Validation of credit default probabilities using multiple-testing procedures
by Sebastian Döhler - 2161264 Value-at-risk forecasts with conditional volatility for structured products
by Fen-Ying Chen - 2161265 The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks
by George A. Christodoulakis & Stephen E. Satchell - 2161266 A framework for stress-testing banks' credit risk
by Jim Hock-Yuen Wong & Ka-Fai Choi & Pak-Wing Fong - 2161267 Variable selection in default risk models
by Alessandra Amendola, Marialuisa Restaino, Luca Sensini - 2161268 Stress-testing credit risk parameters: an application to retail loan portfolios
by Daniel Rösch, Harald Scheule - 2161269 Stress-testing German credit portfolios
by Ferdinand Mager & Christian Schmieder - 2161270 Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
by Szymon Borak & Matthias R. Fengler and Wolfgang K. Härdle - 2161271 Effective modeling of wrong way risk, counterparty credit risk capital and alpha in Basel II
by Juan Carlos Garcia Cespedes & Juan Antonio de Juan Herrero & Dan Rosen and David Saunders - 2161272 Estimating and validating long-run probability of default with respect to Basel II requirements
by Peter Miu, Bogie Ozdemir - 2161273 Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
by Stefan Huschens & Christoph Lehmann and Daniel Tillich - 2161274 Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation
by Chang Liu & Min Guo and Raja Nassar - 2161275 Portfolio crash testing: making sense of extreme event exposures
by Arcady Novosyolov and Daniel Satchkov - 2161276 A note on the Berkowitz test with discrete distributions
by Alfred Hamerle and Kilian Plank - 2161277 Using approximate results for validating value-at-risk
by Jimmy Hong, John Knight, Steve Satchell and Bernd Scherer - 2161278 Multiple hypotheses testing of transition matrices
by Victor de la Pena & Adrian Hernandez-del-Valle & Ricardo Rivera - 2161279 Modeling and evaluating the credit risk of mortgage loans: a primer
by Robert Van Order - 2161280 Stress-testing retail loan portfolios with dual-time dynamics
by Joseph L. Breeden & Lyn Thomas and John W. McDonald III - 2161281 Rating philosophy and dynamic properties of internal rating systems: a general framework and an application to backtesting
by Marco Morone, Anna Cornaglia - 2161282 Measuring model risk
by Philipp Sibbertsen & Gerhard Stahl & Corinna Luedtke - 2161283 A framework for loss given default validation of retail portfolios
by Stefan Hlawatsch and Peter Reichling - 2161284 Understanding performance measures for validating default risk models: a review of performance metrics
by Jorge R. Sobehart & Sean C. Keenan - 2161285 Estimation of intra-sector asset correlations
by Christian Meyer - 2161286 Discriminatory power: an obsolete validation criterion?
by Manuel Lingo & Gerhard Winkler - 2161287 The effect of variant sample sizes and default rates on validation metrics for probability of default models
by David Li & Ruchi Bhariok & Radu Neagu - 2161288 Risk prediction: a DWARF-like approach
by Marc S. Paolella & Sven C. Steude - 2161289 Forecasting industry sector default rates through dynamic factor models
by Andrea Cipollini & Giuseppe Missaglia - 2161290 Risk contributions, information and reverse stress testing
by Jimmy Skoglund and Wei Chen - 2161291 The relationship between default and economic cycle across countries for retail portfolios
by Joseph L. Breeden & Lyn Thomas - 2161292 Benchmarking default prediction models: pitfalls and remedies in model validation
by Roger M. Stein - 2161293 Worst-case asset, default and survival time correlations
by Steffi Höse & Stefan Huschens - 2161294 On the rating and pricing of mortgage portfolios through structured finance
by Kaj Nyström - 2161295 Area under the curve maximization method in credit scoring
by Kakeru Miura, Satoshi Yamashita and Shinto Eguchi - 2161296 Model validation: theory, practice and perspectives
by Patrick Hénaff & Claude Martini - 2161297 Testing retail lending models for missing cross-terms
by Joseph L. Breeden - 2161298 Validation mythology of maturity adjustment formula for Basel II capital requirement
by Dmitry Petrov & Michael Pomazanov - 2161299 Country default probabilities: assessing and backtesting
by Stefan Huschens & Alexander Karmann & Dominik Maltritz & Konstantin Vogl - 2161300 Discriminatory power and predictions of defaults of structural credit risk models
by Tak-Chuen Wong & Cho-hoi Hui & Chi-fai Lo - 2161301 Measures of predictive success for rating functions
by Sebastian Ostrowski & Peter Reichling - 2161302 Backtesting the RPIX inflation fan charts
by Kevin Dowd - 2161303 Impact analysis of VaR methodologies on regulatory capital
by Lampros Kalyvas & Athanasios Sfetsos - 2161304 Breaking correlation breakdowns: non-parametric estimation of downturn correlations and their application in credit risk models
by Oleg Burd - 2161305 Dynamic backtesting of value-at-risk models under regime change
by Victor H. de la Pena, Ricardo Rivera - 2161306 On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?
by Jimmy Skoglund & Wei Chen - 2161307 Calibrating low-default portfolios, using the cumulative accuracy profile
by Marco J. van der Burgt - 2161308 The usefulness of inaccurate models: financial risk management 'in the wild'
by Yuval Millo and Donald MacKenzie - 2161309 Downturn LGD for Hong Kong mortgage loan portfolios
by Daniel Rösch & Harald Scheule - 2161310 Risk evaluation in financial risk management: prediction limits and backtesting
by Ralf Pauly and Jens Fricke - 2161311 An econometric model to quantify benchmark downturn loss given default on residential mortgages
by Marco Morone and Anna Cornaglia - 2161312 Reverse stress tests with bottom-up approaches
by Peter Grundke - 2161313 Validation of banks' internal rating systems: a challenging task?
by Stefan Blöchwitz - 2161314 An assessment of the internal rating-based approach in Basel II
by Simone Varotto - 2161315 Validating mortgage prepayment forecasts using a dynamic bivariate-choice regression method
by Tingting Ji - 2161316 The distribution of defaults and Bayesian model validation
by Douglas W. Dwyer - 2161317 Stress testing CDOs
by Alfred Hamerle & Kilian Plank - 2161318 Parametric and non-parametric estimation of value-at-risk
by Deepak Jadhav and T. V. Ramanathan - 2161319 On the time scaling of value-at-risk with trading
by Jimmy Skoglund, Donald Erdman, Wei Chen - 2161320 The Swedish inflation fan charts: an evaluation of the Riksbank's inflation density forecasts
by Kevin Dowd - 2161321 Wavelet analysis of business cycles for validation of probability of default: what is the influence of the current credit crisis on model validation?
by Marco J. van der Burgt - 2161322 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
by Peter Miu and Bogie Ozdemir - 2161323 A regime-switching approach to model-based stress testing
by Adam P. Tashman - 2161324 Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches
by Gözde Ünal - 2161325 A proposal for a validation methodology for the discriminatory power of a rating system over time
by Oliver Blümke - 2161326 Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios
by Meko M.C. So and Lyn C. Thomas - 2161327 Empirical performance of loss given default prediction models
by Benjamin Bade & Daniel Rösch & Harald Scheule - 2161328 Addressing the issue of conservatism in probability of default estimates: a validation tool
by Carlos Branco - 2161329 On the use of t-copulas for economic capital calculations
by David G. Maher - 2161330 Stress-testing probability of default and migration rate with respect to Basel II requirements
by Peter Miu & Bogie Ozdemir - 2161331 A practical anatomy of IRC modelling
by Marcus R.W. Martin & Helmut Lutz & Carsten S. Wehn - 2164383 Stress testing a retail loan portfolio: an error correction model approach
by Steeve Assouan - 2164387 On bounds for model calibration uncertainty
by Mikhail V. Deryabin - 2164409 Quantifying model risk within a CreditRisk+ framework
by Matthias Fischer and Alexander Mertel - 2164412 The effect of imperfect data on default prediction validation tests
by Heather Russell, Douglas Dwyer and Qing Kang Tang - 2186754 A realistic approach for estimating and modeling loss given default
by Rakesh Malkani - 2186757 Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis
by Marco Bee - 2186764 Probability of default validation: a single-year and a multiyear methodology for the Basel framework
by Oliver Blümke - 2186770 Further recipes for quantitative reverse stress testing
by Peter Grundke - 2207202 Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
by Cho-Hoi Hui & Tak-Chuen Wong & Chi-Fai Lo and Ming-Xi Huang - 2207222 A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems
by Magnus Carlehed and Alexander Petrov - 2207234 Empirically testing for the location–scale condition: a review of the economic literature
by Michael Vassalos & Carl R. Dillon and Paul D. Childs - 2207239 Modeling issuer default risk in basket default swaps: the impact of default correlation
by Po-Cheng Wu - 2229467 Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation
by Dario Brandolini & Stefano Colucci - 2229474 Capturing value-at-risk in futures markets: a revised filtered historical simulation approach
by Chang-Cheng Changchien, Chu-Hsiung Lin and Wei-Shun Kao - 2229478 Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets
by Dany Ng Cheong Vee, Preethee Nunkoo Gonpot and Noor Sookia - 2229488 Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility
by Kai Erik Dahlen and Per Bjarte Solibakke - 2255868 Credit portfolio models in the presence of forward-looking stress events
by Alexander Denev - 2255873 Computing a standard error for the Gini coefficient: an application to credit risk model validation
by Marius-Cristian Frunza - 2255876 Economic capital model validation: a comparative study
by Zhenya Hu & Amnon Levy and Jing Zhang - 2255880 Loss given default modeling: a comparative analysis
by Olga Yashkir and Yuri Yashkir - 2275631 Probability of default validation: introducing the likelihood-ratio test and power considerations
by Oliver Blümke - 2275636 Modeling value-at-risk for international portfolios in different jump-diffusion processes
by Fen-Ying Chen - 2275643 An integrated stress testing framework via Markov switching simulation
by Wei Chen and Jimmy Skoglund - 2275655 An algorithmic model for retail credit portfolio segmentation
by Andy J. Y. Yeh and Jose A. Lopez - 2294423 Toward model value-at-risk: bespoke CDO tranches, a case study
by Pierre Cohort, Pierre-Emmanuel Levy dit Vehel and Frédéric Patras - 2294426 Expected loss and Impact of Risk: backtesting parameter-based expected loss in a Basel II framework
by Wolfgang Reitgruber - 2294430 Individual and flexible expected shortfall backtesting
by Marcelo Brutti Righi and Paulo Sergio Ceretta - 2294434 Multirating decision model validation: the relevance of the quality of securitization issues
by Miguel à . Peña-Cerezo, Arturo RodrÃguez-Castellanos and Francisco J. Ibáñez-Hernández - 2317137 The daily returns of the Portuguese Stock Index: a distributional characterization
by Sameer R. Rege, João C. A. Teixeira and António G. de Menezes - 2317139 A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
by Paolo Guarda, Abdelaziz Rouabah and John Theal - 2317144 Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
by Bill Huajian Yang - 2317266 Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems†by M. Carlehed and A. Petrov
by Lawrence R. Forest Jr. & Gaurav Chawla and Scott D. Aguais - 2317272 Response to the comment by L. R. Forest Jr., G. Chawla and S. D. Aguais
by Magnus Carlehed and Alexander Petrov - 2335488 A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions
by Matthias Fischer and Marius Pfeuffer - 2335491 Credit scoring optimization using the area under the curve
by Anne Kraus and Helmut Küchenhoff - 2335495 A proposed framework for backtesting loss given default models
by Gert Loterman & Michiel Debruyne & Karlien Vanden Branden & Tony Van Gestel and Christophe Mues - 2335499 Modeling portfolio risk by risk discriminatory trees and random forests
by Bill Huajian Yang - 2350365 Review, theory and implementation of convertible bonds for commercial investment
by Raj Kunwar & Zhihui Yang & Jonathan Lai and Jerrold Cline - 2350369 An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
by Matthias Fischer and Florian Kaufmann - 2350372 Backtesting value-at-risk tail losses on a dynamic portfolio
by Alasdair Graham and János Pál - 2350377 Comparative analysis of credit risk models for loan portfolios
by Chulwoo Han - 2370503 Sensitivity analysis of risk measurement for catastrophe losses caused by natural disasters
by Myung Suk Kim - 2370509 Validation of term structure forecasts with factor models
by Alexander B. Matthies - 2370512 Conditioned likelihood estimation of nonnormal distributions: risk estimation of credit portfolios in stressed markets
by Kingsley Oteng-Amoako - 2370518 Modeling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
by Bill Huajian Yang - 2385745 Liquidity effects on value-at-risk limits: construction of a new VaR model
by Sunny B. Walter Madoroba and Jan W. Kruger - 2385759 Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models
by Dany Allan Nicholas Ng Cheong Vee & Preethee Nunkoo Gonpot and Noor Ul Hacq Sookia - 2385769 Backtesting for counterparty credit risk
by Sebastian Schnitzler, Niklas Rother, Holger Plank and Peter Glößner - 2385774 The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate
by Jung-Bin Su - 2400823 Backtesting general spectral risk measures with application to expected shortfall
by Nick Costanzino and Mike Curran - 2400825 The role of the loss function in value-at-risk comparisons
by Pilar Abad & Sonia Benito Muela and Carmen López MartÃn - 2400826 Country risk index and sovereign ratings: do they foresee financial crises?
by Nerea San-MartÃn-Albizuri and Arturo RodrÃguez-Castellanos - 2400829 The effect of introducing economic variables into credit scorecards: an example from invoice discounting
by Jie Zhang and Lyn C. Thomas - 2412440 Biased benchmarks
by Lawrence R. Forest Jr. & Gaurav Chawla and Scott D. Aguais - 2413209 Backtesting Solvency II value-at-risk models using a rolling horizon
by Miriam Loois - 2413891 Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
by Bill Huajian Yang and Zunwei Du - 2414407 Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
by Marie Steen & Sjur Westgaard and Ole Gjølberg - 2424800 Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
by Jean Paul Chung Wing and Preethee Nunkoo Gonpot - 2425809 Loss given default modeling: an application to data from a Polish bank
by Marek Karwański & Michał Gostkowski and Piotr Jałowiecki - 2426782 Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
by Michael Jacobs Jr. & Ahmet K. Karagozoglu and Frank J. Sensenbrenner - 2427631 Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
by Pawel Siarka and Lina Chan - 2437467 A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
by Sisi Liang & Joseph Breeden - 2437473 AERB: developing AIRB PIT–TTC PD models using external ratings
by Gaurav Chawla & Lawrence Forest Jr & Scott Aguais - 2437481 Liquidity stress testing: a model for a portfolio of credit lines
by Marco Geidosch - 2437490 Downside risk measure performance in the presence of breaks in volatility
by Johannes Rohde - 2449079 Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
by MartÃn Egozcue & Luis Fuentes GarcÃa - 2449102 An application of sensitivity analysis to hedge funds
by Greg N. Gregoriou and Razvan Pascalau - 2449114 Value-at-risk time scaling: a Monte Carlo approach
by Moepa Malataliana and Michael Rigotard - 2449134 Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
by Maria Rocha Sousa & João Gama and ElÃsio Brandão - 2457349 Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
by Kuo-Shing Chen - 2457367 Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
by Nikola Curcic & Dragana Milojkovic & Vuk Miletic & Nikola Radivojević - 2458872 Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
by Sun-Yong Choi - 2460734 A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
by Mark Rubtsov & Alexandre Petrov - 2466345 Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
by . . & Zunwei Du - 2466349 Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
by Imed Gammoudi & Mohamed El Ghourabi & Lotfi Belkacem - 2467947 A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
by Tae Yeon Kwon - 2469333 Some options for evaluating significant deterioration under IFRS 9
by Gaurav Chawla & Lawrence Forest Jr & Scott Aguais - 2473445 On modeling zero-inflated insurance data
by J. M. Pérez Sánchez & E. Gómez-Déniz - 2476036 Consensus information and consensus rating: a simulation study on rating aggregation
by Christoph Lehmann & Daniel Tillich - 2476042 A quick tool to forecast value-at-risk using implied and realized volatilities
by Francesco Cesarone & Stefano Colucci - 2476044 A prudent loss given default estimation for mortgages
by Bogie Ozdemir - 2476045 Risk reduction in a time series momentum trading strategy
by KiHoon Hong & KiBong Park & Yong Woong Lee - 2480144 Point-in-time probability of default term structure models for multiperiod scenario loss projection
by . . - 3911741 Asset correlations and procyclical impact
by Kung-Cheng Ho & Jiun-Lin (Alex) Chen & Shih-Cheng Lee - 3913941 A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
by Georgios Papadopoulos - 3914671 Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibrationâ€
by Torsten Pyttlik & Mark Rubtsov & Alexandre Petrov - 3916491 Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
by Jimmy Skoglund & Wei Chen - 4992916 Goodness-of-fit for discrete-choice models of borrower default
by Arden Hall - 5267071 Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
by Katsuhiro Tanaka - 5268606 Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
by Fen-Ying Chen - 5277031 A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
by Jiaming Liu & Chong Wu - 5277036 Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic
by MartÃn Egozcue & Luis Fuentes GarcÃa & Konstantinos V. Katsikopoulos & Michael Smithson - 5312446 Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
by Michael Jacobs Jr. - 5312461 A practical maturity assessment method for model risk management in banks
by Liesl van Biljon & L.J. Haasbroek - 5318076 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
by Bill Huajian Yang - 5318806 On the correlation and parametric approaches to calculation of credit value adjustment
by Tao Pang & Wei Chen & Le Li - 5328496 The use of the triangular approximation for some complicated risk measurement calculations
by Nick Georgiopoulos - 5328501 Bayesian analysis in an aggregate loss model: validation of the structure functions
by AgustÃn Hernández-Bastida & José MarÃa Pérez-Sánchez & M. Pilar Fernández-Sánchez - 5365156 New historical bootstrap value-at-risk model
by Nikola Radivojević & Zorana Sobat-Matic & Borjana B. Mirjanic - 5379046 Governance and organizational requirements for effective model risk management
by Dennis E. Bennett - 5379051 The profit-and-loss attribution test
by Peter Thompson & Hayden Luo & Kevin Fergusson - 5399941 A risk-sensitive approach for stressed transition probability matrixes
by Ahmet Perilioglu & Karina Perilioglu & Sukriye Tuysuz - 5452281 Validation of profit and loss attribution models for equity derivatives
by Dilip B. Madan & King Wang - 5455781 The validation of filtered historical value-at-risk models
by Pedro Gurrola-Perez - 5462066 A central limit theorem formulation for empirical bootstrap value-at-risk
by Peter Mitic & Nicholas Bloxham - 5462081 Underperforming performance measures? A review of measures for loss given default models
by Katarzyna (Kasia) Bijak & Lyn C. Thomas - 5465841 Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
by Sascha Wilkens & Mirela Predescu - 5587081 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
by Bill Huajian Yang - 5646366 The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
by Jiun-Lin (Alex) Chen & Hyoseok (David) Hwang - 5720521 Shrunk volatility value-at-risk: an application on US balanced portfolios
by Stefano Colucci - 5720571 Evaluating the risk performance of online peer-to-peer lending platforms in China
by Chong Wu & Dong Zhang & Ying Wang - 5885946 Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
by Liyi Lin & Marc Heemskerk & Peter Dekker - 5940421 Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
by José Canals-Cerdá - 5940426 Analytical expressions of risk quantities for composite models
by José MarÃa Sarabia & Enrique CalderÃn-Ojeda - 6057126 Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice
by Carsten Wehn - 6178806 A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
by Saeed Shaker-Akhtekhane & Mohsen Seighali & Solmaz Poorabbas - 6178851 Evaluating the credit exposure of interest rate derivatives under the real-world measure
by Takashi Yasuoka - 6409336 The utility of Basel III rules on excessive violations of internal risk models
by Wayne Tarrant