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Journal of Risk Model Validation最新文献

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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.
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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
{"title":"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","authors":"Roger M. Stein","doi":"10.21314/jrmv.2022.019","DOIUrl":"https://doi.org/10.21314/jrmv.2022.019","url":null,"abstract":"Receiver operating characteristic (ROC) curves are often used to quantify the performance of predictive models used in diagnosis, risk stratification and rating systems. The ROC area under the curve (AUC) summarizes the ROC in a single statistic, which also provides a probabilistic interpretation that is isomorphic to the Mann– Whitney–Wilcoxon test. In many settings, such as those involving diagnostic tests for diseases or antibodies, information about the ROC is not reported;instead the true positive. TP / and true negative. TN / rates are reported for a single threshold value. We demonstrate how to calculate the upper and lower bounds for the ROC AUC, given a single. TP;TN / pair. We use simple geometric arguments only, and we present two examples of real-world applications from medicine and finance, involving Covid-19 diagnosis and credit card fraud detection, respectively. In addition, we introduce formally the notion of “pathological” ROC curves and “well-behaved” ROC curves. In the case of well-behaved ROC curves, the bounds on the AUC may be made tighter. In certain special cases involving pathological ROC curves that result from what we term “George Costanza” classifiers, we may transform predictions to obtain well-behaved ROC curves with higher AUC than the original decision process. Our results also enable the calculation of other quantities of interest, such as Cohen’s d or the Pearson correlation between a diagnostic outcome and an actual outcome. These results facilitate the direct comparison of reported performance when model or diagnostic performance is reported for only a single score threshold. © 2022. Infopro Digital Risk (IP) Limited","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720050","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
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
{"title":"Scenario design for macrofinancial stress testing","authors":"Emanuele De Meo","doi":"10.21314/jrmv.2022.024","DOIUrl":"https://doi.org/10.21314/jrmv.2022.024","url":null,"abstract":"This paper provides a novel empirical approach to scenario design for selecting a stress scenario for international macrofinancial variables. The scenario design framework is composed of several building blocks. First, multiple scenarios on the risk factors are generated by simulating a multi-country large Bayesian vector autoregression. Second, we take the perspective of a representative investor who aims to select a severe-yet-plausible scenario for a set of systematic risk factors following a factor-investing strategy. Moreover, we compare the stress scenarios selected under different approaches to measure plausibility (the Mahalanobis distance and entropy pooling under subjective views with a clear economic narrative). Finally, we compare our scenario design approach with a historical scenario approach in terms of its ability to select a stress scenario in the run-up to a rare adverse event such as the Covid-19 pandemic. We give evidence that our framework is suitable for the selection of a proper forward-looking severe-yet-plausible macrofinancial stress scenario.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"44 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720738","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
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
{"title":"Performance validation of representative sample-balancing methods in loan credit-scoring scenarios","authors":"Ling Chen, Runchi Zhang","doi":"10.21314/jrmv.2022.026","DOIUrl":"https://doi.org/10.21314/jrmv.2022.026","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720380","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
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
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.025
Lei Ding, Yaming Zhuang, Hu Wang
{"title":"Risk contagion and bank stability: the role of credit risk and liquidity risk","authors":"Lei Ding, Yaming Zhuang, Hu Wang","doi":"10.21314/jrmv.2022.025","DOIUrl":"https://doi.org/10.21314/jrmv.2022.025","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720329","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
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals 扩展多维信号的混合多层LGD模型预测银行贷款违约损失
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.027
Mengting Fan, Zan Mo, Qizhi Zhau, Hongming Gao, Hongwei Liu, Hui Zhu
{"title":"Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals","authors":"Mengting Fan, Zan Mo, Qizhi Zhau, Hongming Gao, Hongwei Liu, Hui Zhu","doi":"10.21314/jrmv.2022.027","DOIUrl":"https://doi.org/10.21314/jrmv.2022.027","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720498","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
Quantifying model selection risk in macroeconomic sensitivity models 量化宏观经济敏感性模型中的模型选择风险
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2022.021
J. Breeden, N. Dobrinov
{"title":"Quantifying model selection risk in macroeconomic sensitivity models","authors":"J. Breeden, N. Dobrinov","doi":"10.21314/jrmv.2022.021","DOIUrl":"https://doi.org/10.21314/jrmv.2022.021","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67720555","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
Size does matter: a study on the required window size for optimal-quality market risk models 规模确实很重要:对最优质量市场风险模型所需窗口大小的研究
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2022-01-01 DOI: 10.21314/jrmv.2021.015
Mateusz Buczyński, M. Chlebus
{"title":"Size does matter: a study on the required window size for optimal-quality market risk models","authors":"Mateusz Buczyński, M. Chlebus","doi":"10.21314/jrmv.2021.015","DOIUrl":"https://doi.org/10.21314/jrmv.2021.015","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"21 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79308797","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
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning 综合资本分析与回顾一致收益率曲线压力测试:从尼尔森-西格尔到机器学习
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-09-17 DOI: 10.21314/jrmv.2021.005
V. Abramov, Christopher Atchison, Zhengye Bian
{"title":"Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning","authors":"V. Abramov, Christopher Atchison, Zhengye Bian","doi":"10.21314/jrmv.2021.005","DOIUrl":"https://doi.org/10.21314/jrmv.2021.005","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"16 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74334859","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
Empirical validation of the credit rating migration model for estimating the migration boundary 信用评级迁移模型估算迁移边界的实证验证
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-07-26 DOI: 10.21314/jrmv.2021.002
Yang Lin, Jin Liang
{"title":"Empirical validation of the credit rating migration model for estimating the migration boundary","authors":"Yang Lin, Jin Liang","doi":"10.21314/jrmv.2021.002","DOIUrl":"https://doi.org/10.21314/jrmv.2021.002","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1124 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76754285","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
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