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Journal of Risk Model Validation最新文献

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Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation 基于粒子群优化的中国互联网金融风险评估——层次分析法和模糊综合评判
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.028
Zeng Li, Wee‐Yeap Lau, Elya Nabila Abdul Bahri
{"title":"Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation","authors":"Zeng Li, Wee‐Yeap Lau, Elya Nabila Abdul Bahri","doi":"10.21314/jrmv.2022.028","DOIUrl":"https://doi.org/10.21314/jrmv.2022.028","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67721028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The validation of different systemic risk measurement models 不同系统性风险度量模型的验证
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.004
Hu Wang, Shuyang Jiang
{"title":"The validation of different systemic risk measurement models","authors":"Hu Wang, Shuyang Jiang","doi":"10.21314/jrmv.2023.004","DOIUrl":"https://doi.org/10.21314/jrmv.2023.004","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67721087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new automated model validation tool for financial institutions 一种新的金融机构自动化模型验证工具
4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.006
Lingling Fan, Alex Schneider, Mazin Joumaa
{"title":"A new automated model validation tool for financial institutions","authors":"Lingling Fan, Alex Schneider, Mazin Joumaa","doi":"10.21314/jrmv.2023.006","DOIUrl":"https://doi.org/10.21314/jrmv.2023.006","url":null,"abstract":"We present a new automated validation tool to validate predictive models for financial organizations based on the regulatory guidance of the US Federal Reserve and the Office of the Comptroller of the Currency. This automated tool is designed to help validate linear and logistic regression models. It automatically completes validation processes for seven areas: data sets, model algorithm assumptions, model coefficients and performance, model stability, backtesting, sensitivity testing and stress testing. The tool is packaged as a PYTHON library and can validate models developed in any language, such as PYTHON, R and the SAS language. Further, it can automatically generate a validation report as a portable document format (PDF) file while saving all the generated tables and charts in separate EXCEL and portable network graphic (PNG) files. With this automated tool, validators can standardize model validation procedures, improve efficiency and reduce human error. The tool can also be used during model development.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135361457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay 混合付款方案下承包商的汇率风险管理:乌拉圭埃斯特角城的案例研究
4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.011
Martin Egozcue
{"title":"Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay","authors":"Martin Egozcue","doi":"10.21314/jrmv.2023.011","DOIUrl":"https://doi.org/10.21314/jrmv.2023.011","url":null,"abstract":"This paper investigates the strategies contractors can employ to mitigate the exchange rate risks in hybrid payment systems. In our analysis, contractors face exchange rate risk, due to mismatches between their revenue and cost currencies, as well as property price risk, since they receive a portion of their revenue in the form of dwelling units. We rigorously compare the performance of three distinct risk models within the context of real estate development in Punta del Este, Uruguay. By evaluating these models against empirical data from a hypothetical project, our research provides valuable insights into their effectiveness in managing exchange rate risk. This addresses the critical need to validate risk models in the emerging real estate market of Punta del Este. Our analysis demonstrates a significant reduction in risk and higher expected profits compared with strategies that do not involve hedging.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135506463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
https://www.risk.net/journal-of-risk-model-validation/7956071/measuring-the-systemic-importance-of-chinese-banks-a-comparison-of-different-risk-measurement-models https://www.risk.net/journal-of-risk-model-validation/7956071/measuring-the-systemic-importance-of-chinese-banks-a-comparison-of-different-risk-measurement-models
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.029
C. Cai
{"title":"https://www.risk.net/journal-of-risk-model-validation/7956071/measuring-the-systemic-importance-of-chinese-banks-a-comparison-of-different-risk-measurement-models","authors":"C. Cai","doi":"10.21314/jrmv.2022.029","DOIUrl":"https://doi.org/10.21314/jrmv.2022.029","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67721113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting 一种改进的基于过滤和包装的混合特征选择方法用于信用风险预测
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.001
Guotai Chi, Mohamed Abdelaziz Mandour
{"title":"A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting","authors":"Guotai Chi, Mohamed Abdelaziz Mandour","doi":"10.21314/jrmv.2023.001","DOIUrl":"https://doi.org/10.21314/jrmv.2023.001","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models 我们能从一个好的利润模型中期待什么？基于风险的初始保证金模型的整体分布测试结果
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.002
David Murphy
{"title":"What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models","authors":"David Murphy","doi":"10.21314/jrmv.2023.002","DOIUrl":"https://doi.org/10.21314/jrmv.2023.002","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"54 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Value-at-risk and the global financial crisis 风险价值与全球金融危机
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.030
Manh Ha Tran, Ngoc Thanh Mai Tran
{"title":"Value-at-risk and the global financial crisis","authors":"Manh Ha Tran, Ngoc Thanh Mai Tran","doi":"10.21314/jrmv.2022.030","DOIUrl":"https://doi.org/10.21314/jrmv.2022.030","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Does the asymmetric exponential power distribution improve systemic risk measurement? 非对称指数权力分配是否改善了系统性风险度量?
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.031
Shu Wu, Huiqiong Chen, Helong Li
{"title":"Does the asymmetric exponential power distribution improve systemic risk measurement?","authors":"Shu Wu, Huiqiong Chen, Helong Li","doi":"10.21314/jrmv.2022.031","DOIUrl":"https://doi.org/10.21314/jrmv.2022.031","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating value-at-risk using quantile regression and implied volatilities 使用分位数回归和隐含波动率估计风险价值
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2021.014
P. D. de Lange, Morten Risstad, Sjur Westgaard
{"title":"Estimating value-at-risk using quantile regression and implied volatilities","authors":"P. D. de Lange, Morten Risstad, Sjur Westgaard","doi":"10.21314/jrmv.2021.014","DOIUrl":"https://doi.org/10.21314/jrmv.2021.014","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"24 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83528324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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