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Journal of Risk Model Validation最新文献

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Bifractal Receiver Operating Characteristic Curves: A Formula for Generating Receiver Operating Characteristic Curves in Credit-Scoring Contexts 分岔接收者工作特征曲线:信用评分环境下接收者工作特征曲线的生成公式
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2020-10-29 DOI: 10.21314/JRMV.2020.231
Błażej Kochański
{"title":"Bifractal Receiver Operating Characteristic Curves: A Formula for Generating Receiver Operating Characteristic Curves in Credit-Scoring Contexts","authors":"Błażej Kochański","doi":"10.21314/JRMV.2020.231","DOIUrl":"https://doi.org/10.21314/JRMV.2020.231","url":null,"abstract":"This paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. Credit scoring practitioners know that the Gini coefficient usually drops if it is only calculated on cases above the cutoff. This fact is not a mathematical necessity, however, as it is theoretically possible to get an ROC curve that keeps the same Gini coefficient no matter how big a share of lowest score cases are excluded from the calculation (a “right-hand” fractal ROC curve). Analogously, a left-hand fractal ROC curve would be a curve that keeps its Gini coefficient constant below any cutoff point. The model proposed here is a linear combination of left- and right-hand ROC curves. A bifractal ROC curve is drawn with just two parameters: one responsible for the shape of the curve and the other responsible for the area under the curve (a Gini coefficient). As is shown in this paper, most real-life credit-scoring ROC curves lie between the two fractal curves. In consequence, the Gini coefficient will be consistently lower when computed only on approved loans.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49172892","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
Quantification of the estimation risk inherent in loss distribution approach models 量化损失分布方法模型中固有的估计风险
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-10-25 DOI: 10.21314/jrmv.2019.212
Kevin Panman, Liesl van Biljon, L. Haasbroek
{"title":"Quantification of the estimation risk inherent in loss distribution approach models","authors":"Kevin Panman, Liesl van Biljon, L. Haasbroek","doi":"10.21314/jrmv.2019.212","DOIUrl":"https://doi.org/10.21314/jrmv.2019.212","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43162317","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
A study on window-size selection for threshold and bootstrap value-at-risk models 阈值和自举风险值模型的窗口大小选择研究
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-10-17 DOI: 10.21314/jrmv.2019.211
Anri Smith, Chun-Kai Huang
{"title":"A study on window-size selection for threshold and bootstrap value-at-risk models","authors":"Anri Smith, Chun-Kai Huang","doi":"10.21314/jrmv.2019.211","DOIUrl":"https://doi.org/10.21314/jrmv.2019.211","url":null,"abstract":"This paper investigates the effects of window size selection on various models for Value-at-Risk (VaR) forecasting using high performance computing. Subsequently, automated procedures using change-point analysis for optimal window size selection are proposed. In particular, stationary bootstrapping and the peaks-over-threshold methods are utilized for the rolling daily VaR estimation and are contrasted with the classical conditional Gaussian model. It is evidenced that change-point procedures can, on average, result in more adequate risk predictions than a predetermined fixed window size. The data sets analyzed include indices across 5 continents, i.e., the Dow Jones Industrial Average Index (DJI), the Financial Times Stock Exchange 100 Index (UKX), the NIKKEI Top 225 Index (NKY), the Johannesburg Stock Exchange Top 40 Index (JSE Top40), the Ibovespa Brazil Sao Paulo Stock Exchange All Index (IBOV), and the Bombay Stock Exchange Top 500 Index (BSE 500).","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47743468","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 Verification Model to Capture Option Risk and Hedging Based on a Modified Underlying Beta 基于修正基础贝塔的期权风险捕获与套期保值验证模型
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-09-18 DOI: 10.21314/JRMV.2020.233
Chuan-he Shen, Yang Liu
{"title":"A Verification Model to Capture Option Risk and Hedging Based on a Modified Underlying Beta","authors":"Chuan-he Shen, Yang Liu","doi":"10.21314/JRMV.2020.233","DOIUrl":"https://doi.org/10.21314/JRMV.2020.233","url":null,"abstract":"The mining and hedging of option volatility information are the core issues of stock option markets. This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation. As the assumptions of the capital asset pricing model and Black–Scholes model are not consistent with the actual situation in the financial market, we use applied statistical models to introduce kurtosis and skewness, and to introduce curvature and high-order-moment error terms to optimize the underlying beta model. We then develop a verification model for mining option risk and hedging by employing the modified underlying beta. We verify the hedging performance of the above model by choosing different market samples, such as the China, Hong Kong and US financial markets. The results show that the hedging performance of the optimized underlying beta model in the US market is most satisfactory, followed by the Hong Kong market and then the Chinese mainland market. Meanwhile, the hedging effect of the underlying beta model improved by curvature and high-order-moment error terms is superior to that of the model of the underlying beta adjusted by the kurtosis and skewness.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45091779","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
Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study 通过错误发现率控制的跳跃检测的非参数检验:蒙特卡罗研究
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-09-10 DOI: 10.21314/jrmv.2019.209
Kaiqiao Li, Kang He, Lizhou Nie, Wei Zhu, Pei-Fen Kuan
{"title":"Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study","authors":"Kaiqiao Li, Kang He, Lizhou Nie, Wei Zhu, Pei-Fen Kuan","doi":"10.21314/jrmv.2019.209","DOIUrl":"https://doi.org/10.21314/jrmv.2019.209","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46887244","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
An advanced hybrid classification technique for credit risk evaluation 一种用于信用风险评估的先进混合分类技术
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-09-02 DOI: 10.21314/jrmv.2019.210
Chong Wu, Dekun Gao, Qianqun Ma
{"title":"An advanced hybrid classification technique for credit risk evaluation","authors":"Chong Wu, Dekun Gao, Qianqun Ma","doi":"10.21314/jrmv.2019.210","DOIUrl":"https://doi.org/10.21314/jrmv.2019.210","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48807082","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
Risk data validation under BCBS 239 BCBS 239规定的风险数据验证
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-08-12 DOI: 10.21314/JRMV.2019.207
Lukasz Prorokowski
{"title":"Risk data validation under BCBS 239","authors":"Lukasz Prorokowski","doi":"10.21314/JRMV.2019.207","DOIUrl":"https://doi.org/10.21314/JRMV.2019.207","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45984609","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
Old-Fashioned Parametric Models are Still the Best: A Comparison of Value-at-Risk Approaches in Several Volatility States 老式的参数模型仍然是最好的:几种波动状态下风险价值方法的比较
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-07-09 DOI: 10.21314/JRMV.2020.222
Mateusz Buczyński, M. Chlebus
{"title":"Old-Fashioned Parametric Models are Still the Best: A Comparison of Value-at-Risk Approaches in Several Volatility States","authors":"Mateusz Buczyński, M. Chlebus","doi":"10.21314/JRMV.2020.222","DOIUrl":"https://doi.org/10.21314/JRMV.2020.222","url":null,"abstract":"Numerous advances in the modelling techniques of Value-at-Risk (VaR) have provided the financial institutions with a wide scope of market risk approaches. Yet it remains unknown which of the models should be used depending on the state of volatility. In this article we present the backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several most known VaR models, among many: GARCH, EVT, CAViaR and FHS with multiple sets of parameters. The backtesting procedure has been based on the excess ratio, Kupiec and Christoffersen tests for multiple thresholds and cost functions. The added value of this article is that we have compared the models in four different scenarios, with different states of volatility in training and testing samples. The results indicate that the best of the models that is the least affected by changes in the volatility is GARCH(1,1) with standardized student's t-distribution. Non-parmetric techniques (e.g. CAViaR with GARCH setup (see Engle and Manganelli, 2001) or FHS with skewed normal distribution) have very prominent results in testing periods with low volatility, but are relatively worse in the turbulent periods. We have also discussed an automatic method to setting a threshold of extreme distribution for EVT models, as well as several ensembling methods for VaR, among which minimum of best models has been proven to have very good results - in particular a minimum of GARCH(1,1) with standardized student's t-distribution and either EVT or CAViaR models.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45415275","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: 3
Model risk tiering: an exploration of industry practices and principles 模型风险分级:对行业实践和原则的探索
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-06-06 DOI: 10.21314/jrmv.2019.205
N. Kiritz, Miles Ravitz, Mark E. Levonian
{"title":"Model risk tiering: an exploration of industry practices and principles","authors":"N. Kiritz, Miles Ravitz, Mark E. Levonian","doi":"10.21314/jrmv.2019.205","DOIUrl":"https://doi.org/10.21314/jrmv.2019.205","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48708136","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
Credit portfolio stress testing using transition matrixes 使用过渡矩阵进行信贷组合压力测试
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2019-06-06 DOI: 10.21314/jrmv.2019.204
R. Neagu, G. Lipsa, Jing Wu
{"title":"Credit portfolio stress testing using transition matrixes","authors":"R. Neagu, G. Lipsa, Jing Wu","doi":"10.21314/jrmv.2019.204","DOIUrl":"https://doi.org/10.21314/jrmv.2019.204","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46585911","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
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