Journal of Risk Model Validation最新文献_第2页

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

引用次数: 0

Model risk in mortality-linked contingent claims pricing 与死亡相关的或有索赔定价中的风险模型

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.022

G. Peters, Hongxuan Yan, Jennifer Chan

引用次数: 0

Model risk quantification based on relative entropy 基于相对熵的模型风险量化

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.020

D. Arrieta

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

引用次数: 1

Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective 基于非平衡数据视角的新型混合模型框架预测中国上市公司财务困境

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2021.012

Tong Zhang, Zhichong Zhao

引用次数: 2

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio 将模型风险量化，应用于大型公司投资组合的违约估计概率和压力测试

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.023

Michael Jacobs Jnr.

引用次数: 2

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 当只知道单个灵敏度和特异度点时，接收器工作特性曲线下的面积和其他性能指标的一般界限

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.019

Roger M. Stein

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引用次数: 0

Scenario design for macrofinancial stress testing 宏观金融压力测试的场景设计

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.024

Emanuele De Meo

引用次数: 0

Performance validation of representative sample-balancing methods in loan credit-scoring scenarios 贷款信用评分场景中代表性样本平衡方法的性能验证

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.026

Ling Chen, Runchi Zhang

引用次数: 0

Risk contagion and bank stability: the role of credit risk and liquidity risk 风险传染与银行稳定性:信用风险和流动性风险的作用