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- 6446831 Quantification of model risk in stress testing and scenario analysis
by Jimmy Skoglund - 6446871 Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
by Cathy W. S. Chen & Tsai-Yu Lin & T. Y. Huang - 6446891 On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
by Xin Zhang & Tony Tung - 6547061 An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data
by Mohammad Zoynul Abedin & Chi Guotai & Fahmida - E - Moula & Tong Zhang & M. Kabir Hassan - 6653576 Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
by Lukasz Prorokowski - 6710461 Credit portfolio stress testing using transition matrixes
by Radu Neagu & Gabriel Lipsa & Jing Wu & Jake Lee & Stephane Karm & John Jordan - 6710566 Model risk tiering: an exploration of industry practices and principles
by Nick Kiritz & Miles Ravitz & Mark Levonian - 6903226 Risk data validation under BCBS 239
by Lukasz Prorokowski - 6903341 International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
by Bill Huajian Yang & Biao Wu & Kaijie Cui & Zunwei Du & Glenn Fei - 6961226 An advanced hybrid classification technique for credit risk evaluation
by Chong Wu & Dekun Gao & Qianqun Ma & Qi Wang & Yu Lu - 6983646 Model risk management: from epistemology to corporate governance
by Bertrand Hassani - 6983716 Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study
by Kaiqiao Li & Kan He & Lizhou Nie & Wei Zhu & Pei Fen Kuan - 7090116 A study on window-size selection for threshold and bootstrap value-at-risk models
by Anri Smith & Chun-Kai Huang - 7112941 Quantification of the estimation risk inherent in loss distribution approach models
by Kevin Panman & Liesl van Biljon & L.J. Haasbroek & Willem Daniël Schutte & Tanja Verster - 7123646 Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
by Sjur Westgaard & Gisle Hoel Ã…rhus & Marina Frydenberg & Stein Frydenberg - 7129766 Validation of index and benchmark assignment: adequacy of capturing tail risk
by Lukasz Prorokowski - 7378466 Volatility forecasting: the role of internet search activity and implied volatility
by Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe - 7472201 Incremental value-at-risk
by Peter Mitic & James Cooper & Nicholas Bloxham - 7472236 Measuring economic cycles in data
by Joseph L. Breeden - 7511601 International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
by Bill Huajian Yang & Glenn Fei & Biao Wu & Kaijie Cui & Zunwei Du - 7553981 Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
by Mateusz Buczyński & Marcin Chlebus - 7553986 An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
by Keith Law & Wai Keung Li & Philip Yu - 7554001 Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns
by André Santos & João Guerra - 7554006 An alternative statistical framework for credit default prediction
by Mohammad Shamsu Uddin & Guotai Chi & Tabassum Habib & Ying Zhou - 7669806 A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
by Danyang Lv & Chong Wu & Linxiao Dong - 7669826 The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
by Marcin Fałdziński & Magdalena Osińska - 7678501 Benchmarking loss given default discount rates
by Harald Scheule & Stephan Jortzik - 7701096 A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
by Zhifeng Wang & Fangying Wei - 7725371 Statistical properties of the population stability index
by Bilal Yurdakul & Joshua Naranjo - 7736716 Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
by Guotai Chi & Kunpeng Yuan & Ying Zhou & Lingling Gong - 7736721 How accurate is the accuracy ratio in credit risk model validation?
by Marco van der Burgt - 7745296 A hybrid model for credit risk assessment: empirical validation by real-world credit data
by Guotai Chi & Mohammad Shamsu Uddin & Tabassum Habib & Ying Zhou & Md Rashidul Islam & Md Asad Iqbal Chowdhury - 7796971 A verification model to capture option risk and hedging based on a modified underlying beta
by Chuan-He Shen & Yang Liu - 7797961 Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
by Błażej Kochański - 7800771 Research on listed companies’ credit ratings, considering classification performance and interpretability
by Zhe Li & Guotai Chi & Ying Zhou & Wenxuan Liu - 7800776 Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
by Wojciech Starosta - 7856781 What can we learn from what a machine has learned? Interpreting credit risk machine learning models
by Nehalkumar Bharodia & Wei Chen - 7860306 Empirical validation of the credit rating migration model for estimating the migration boundary
by Yang Lin & Jin Liang - 7867256 Nonconvex noncash risk measures
by Chang Cong & Peibiao Zhao - 7871991 Validation nightmare: the slotting approach under International Financial Reporting Standard 9
by Lukasz Prorokowski & Oleg Deev & Jena-Daniel Guigou - 7878286 Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
by Vilen Abramov & Christopher Atchison & Zhengye Bian - 7882586 The value-at-risk of time-series momentum and contrarian trading strategies
by Keunbae Ahn & Jihye Park & KiHoon Hong - 7882826 A pricing model with dynamic credit rating transition matrixes
by Yun-Cheng Tsai & Sheng-Hsuan Lin & Yuh-Dauh Lyuu - 7885046 A prudent loss given default estimation for mortgages. II
by Bogie Ozdemir & Emma Huang - 7890646 Backtesting of a probability of default model in the point-in-time–through-the-cycle context
by Mark Rubtsov - 7899776 Evaluation of backtesting techniques on risk models with different horizons
by Grigorios Kontaxis & Ioannis E. Tsolas - 7902111 Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
by Mark Rubtsov - 7936571 Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective
by Tong Zhang & Zhichong Zhao - 7936871 Estimating value-at-risk using quantile regression and implied volatilities
by Petter E. de Lange & Morten Risstad & Sjur Westgaard - 7938951 The importance of window size: a study on the required window size for optimal-quality market risk models
by Mateusz Buczyński & Marcin Chlebus - 7946801 Modeling credit risk in the presence of central bank and government intervention
by Bernd Engelmann - 7950741 Can we take the “stress†out of stress testing? Applications of generalized structural equation modeling to consumer finance
by José Canals-Cerdá - 7951416 An end-to-end deep learning approach to credit scoring using CNN + XGBoost on transaction data
by Lars Ole Hjelkrem & Petter Eilif de Lange & Erik Nesset - 7951506 Expected shortfall model based on a neural network
by Sanja Doncic & Nemanja Pantic & Marija Lakićević & Nikola Radivojević - 7952276 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
by Roger M. Stein - 7953781 Quantifying model selection risk in macroeconomic sensitivity models
by Joseph L. Breeden & Nikolay Dobrinov - 7954191 Model risk quantification based on relative entropy
by Daniel Arrieta - 7954888 Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
by Michael Jacobs Jr. - 7954964 Model risk in mortality-linked contingent claims pricing
by Gareth W Peters & Hongxuan Yan & Jennifer Chan - 7954968 Risk contagion and bank stability: the role of credit risk and liquidity risk
by Lei Ding & Yaming Zhuang & Hu Wang - 7955414 Scenario design for macrofinancial stress testing
by Emanuele De Meo - 7955415 Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
by Ling-Jia Chen & Runchi Zhang - 7955423 Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
by Mengting Fan & Zan Mo & Qizhi Zhao & Hongming Gao & Hongwei Liu & Hui Zhu - 7956045 Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation
by Zeng Li & Wee-Yeap Lau & Elya Nabila Abdul Bahri - 7956068 Does the asymmetric exponential power distribution improve systemic risk measurement?
by Shu Wu & Huiqiong Chen & Helong Li - 7956071 Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
by Chunlin Cai - 7956141 Value-at-risk and the global financial crisis
by Manh Ha Tran & Ngoc Mai Tran - 7956771 What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
by David Murphy - 7956798 The validation of different systemic risk measurement models
by Hu Wang & Shuyang Jiang - 7956812 A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
by Guotai Chi & Mohamed Abdelaziz Mandour - 7956866 Bayesian backtesting for counterparty risk models
by Mante Zelvyte & Matthias Arnsdorf - 7957515 On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompletenessâ€
by Oghenovo Adewale Obrimah - 7957638 Overfitting in portfolio optimization
by Matteo Maggiolo & Oleg Szehr - 7957679 A new automated model validation tool for financial institutions
by Lingling Fan & Alex Schneider & Mazin Joumaa - 7958191 Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
by MartÃn Egozcue - 7958593 Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
by Shanshan Wang & Guotai Chi & Ying Zhou & Li Chen - 7958615 Online attention and directors’ and officers’ liability insurance: evidence from Chinese listed firms
by Can Lin & Huobao Xie - 7958697 Shapley values as an interpretability technique in credit scoring
by Hendrik Andries du Toit & Willem Daniël Schutte & Helgard Raubenheimer - 7959301 Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
by Jin Xing & Guotai Chi & Ancheng Pan - 7959308 Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
by Sergio Caprioli & Emanuele Cagliero & Riccardo Crupi - 7959313 Financial distress prediction with optimal decision trees based on the optimal sampling probability
by Guotai Chi & Cun Li & Ying Zhou & Taotao Li - 7959389 A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
by Guanghui Han & Panpan Liu & Yueqiang Zhang & Xiaobo Li - 7959891 The impact of deterioration in rating-model discriminatory power on expected losses
by Siyi Zhou & Gary van Vuuren - 7959985 Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
by A. Mansurali & Sarbjit Singh Oberoi & P. Mary Jeyanthi & Sayan Banerjee - 7959987 Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
by Zilong Liu & Hongyan Liang - 7960013 Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports
by Szymon Lis & Mariusz Kubkowski & Olimpia Borkowska & Dobromił Serwa & Jarosław Kuparnik - 7960088 Litigation risk assessment: a novel quantitative recency–frequency–monetary model
by Guodong Shi & Jianjie Huang & Jiahao Hou & Zeliang Zhang - 7960108 A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting
by Xinyong Lu & Yuchong Li & Jiaxin Wang & Xuewei Liu & Jiahui Wei - 7960310 Research on the multifractal volatility of Chinese banks based on the synthetic minority oversampling technique, edited nearest neighbors and long short-term memory
by Jingyuan Huang & Yunhan Qu & Cheng Li - 7960952 Lessons for academic research from model risk management in financial institutions
by Mahmood Alaghmandan & Olga Streltchenko - 7960986 Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies
by Jiaming Liu & Ming Jia & Yanan Hao & Lu Wang - 7960990 Dissecting initial margin forecasts: models, limitations and backtesting
by Vladimir Chorniy & Sergii Arkhypov