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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