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Journal of Risk Model Validation最新文献

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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
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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
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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
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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
Validation nightmare: the slotting approach under International Financial Reporting Standard 9 验证噩梦:国际财务报告准则第9号下的安排方法
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-09-01 DOI: 10.21314/jrmv.2021.003
Lukasz Prorokowski, O. Deev, Jena-Daniel Guigou
{"title":"Validation nightmare: the slotting approach under International Financial Reporting Standard 9","authors":"Lukasz Prorokowski, O. Deev, Jena-Daniel Guigou","doi":"10.21314/jrmv.2021.003","DOIUrl":"https://doi.org/10.21314/jrmv.2021.003","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"20 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85779102","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
Nonconvex noncash risk measures 非凸非现金风险度量
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-08-17 DOI: 10.21314/jrmv.2021.004
Chang Cong, P. Zhao
{"title":"Nonconvex noncash risk measures","authors":"Chang Cong, P. Zhao","doi":"10.21314/jrmv.2021.004","DOIUrl":"https://doi.org/10.21314/jrmv.2021.004","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"62 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85892496","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
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
What can we learn from what a machine has learned? Interpreting credit risk machine learning models 我们能从机器学到的东西中学到什么?解释信用风险机器学习模型
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-07-20 DOI: 10.21314/jrmv.2020.235
Nehalkumar Bharodia, Wei Chen
{"title":"What can we learn from what a machine has learned? Interpreting credit risk machine learning models","authors":"Nehalkumar Bharodia, Wei Chen","doi":"10.21314/jrmv.2020.235","DOIUrl":"https://doi.org/10.21314/jrmv.2020.235","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"66 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87000921","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
Backtesting of a probability of default model in the point-in-time–through-the-cycle context 在整个周期的时间点上下文中对默认模型的概率进行回测
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-01-01 DOI: 10.21314/jrmv.2021.009
M. Rubtsov
{"title":"Backtesting of a probability of default model in the point-in-time–through-the-cycle context","authors":"M. Rubtsov","doi":"10.21314/jrmv.2021.009","DOIUrl":"https://doi.org/10.21314/jrmv.2021.009","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87686516","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
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default 将评级等级按时间点及周期内的违约概率水平进行校正
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2021-01-01 DOI: 10.21314/jrmv.2021.010
M. Rubtsov
{"title":"Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default","authors":"M. Rubtsov","doi":"10.21314/jrmv.2021.010","DOIUrl":"https://doi.org/10.21314/jrmv.2021.010","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86504993","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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