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Journal of Risk Model Validation最新文献

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A prudent loss given default estimation for mortgages 考虑到抵押贷款的违约估计，这是一个谨慎的损失
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-11-01 DOI: 10.21314/JRMV.2016.161
Bogie Ozdemir
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引用次数: 1
A quick tool to forecast value-at-risk using implied and realized volatilities 使用隐含和已实现波动率预测风险价值的快速工具
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-11-01 DOI: 10.21314/JRMV.2016.163
Francesco Cesarone, Stefano Colucci
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引用次数: 5
Risk reduction in a time series momentum trading strategy 时间序列动量交易策略的风险降低
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-11-01 DOI: 10.21314/JRMV.2016.162
K. Hong, K. Park, Yong Woong Lee
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引用次数: 0
On modeling zero-inflated insurance data 零膨胀保险数据建模
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-10-07 DOI: 10.21314/JRMV.2016.160
J. M. P. Sánchez, E. Gómez–Déniz
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引用次数: 1
Some options for evaluating significant deterioration under IFRS 9 根据国际财务报告准则第9号评估重大恶化的一些选择
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-08-31 DOI: 10.21314/JRMV.2016.158
G. Chawla, L. Forest, Scott D. Aguais
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引用次数: 11
A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information 基于股票和信用市场信息的随机系数相关结构信用风险模型及其贝叶斯估计
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-08-15 DOI: 10.21314/JRMV.2016.156
Tae Yeon Kwon
{"title":"A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information","authors":"Tae Yeon Kwon","doi":"10.21314/JRMV.2016.156","DOIUrl":"https://doi.org/10.21314/JRMV.2016.156","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"29 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80905922","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 bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model 多变量重尾分布的风险值边界:在Glosten-Jagannathan-Runkle广义自回归条件异方差模型中的应用
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-07-28 DOI: 10.21314/JRMV.2016.157
Imed Gammoudi, Mohamed El Ghourabi, L. Belkacem
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引用次数: 3
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation 评级-过渡-概率模型和综合资本分析和审查压力测试:方法和实施
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-07-28 DOI: 10.21314/jrmv.2016.155
Zunwei Du
{"title":"Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation","authors":"Zunwei Du","doi":"10.21314/jrmv.2016.155","DOIUrl":"https://doi.org/10.21314/jrmv.2016.155","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"4 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90737778","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: 2
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration 一个时间点贯穿周期的方法来评级分配和默认校准的概率
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-06-01 DOI: 10.21314/JRMV.2016.154
M. Rubtsov, A. Petrov
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引用次数: 11
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates 基于carr - german - madan - yor过程的风险价值估计:外汇汇率的实证研究
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-05-20 DOI: 10.21314/JRMV.2016.151
S. Choi
{"title":"Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates","authors":"S. Choi","doi":"10.21314/JRMV.2016.151","DOIUrl":"https://doi.org/10.21314/JRMV.2016.151","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89798579","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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