Journal of Risk Model Validation最新文献_第7页

Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios 先进的内部评级框架中资本和投资组合分割的顺周期性:对抵押贷款投资组合的应用

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-09-11 DOI: 10.21314/jrmv.2018.191

José J. Canals-Cerdá

引用次数: 1

Optimal allocation of model risk appetite and validation threshold in the Solvency II framework 偿付能力II框架下模型风险偏好和验证阈值的优化配置

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-08-23 DOI: 10.21314/JRMV.2018.193

LiYi Lin, M. Heemskerk, P. Dekker

引用次数: 0

Evaluating the risk performance of online peer-to-peer lending platforms in China 评估中国网络p2p借贷平台的风险表现

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-06-25 DOI: 10.21314/jrmv.2018.187

Chong Wu, Dong Zhang, Ying Wang

引用次数: 3

Shrunk volatility value-at-risk: an application on US balanced portfolios 波动率缩水的风险价值:在美国平衡投资组合中的应用

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-06-25 DOI: 10.21314/JRMV.2018.183

Stefano Colucci

引用次数: 2

Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation 约束最大似然平滑算法:综合资本分析和审查压力测试和国际财务报告标准9预期信用损失估计的方法和实现

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-05-08 DOI: 10.21314/JRMV.2018.189

Bill Huajian Yang

引用次数: 0

Model Risk in the Fundamental Review of the Trading Book: The Case of the Default Risk Charge 交易账簿基础审查中的模型风险:以违约风险收费为例

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-03-22 DOI: 10.2139/SSRN.3053426

S. Wilkens, Mirela Predescu

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引用次数: 3

A central limit theorem formulation for empirical bootstrap value-at-risk 经验自举风险值的中心极限定理公式

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-03-20 DOI: 10.21314/jrmv.2018.182

P. Mitic, Nicholas Bloxham

引用次数: 2

Underperforming performance measures? A review of measures for loss given default models 表现不佳的绩效指标?对给定违约模型的损失度量的回顾

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-03-20 DOI: 10.21314/JRMV.2018.186

K. Bijak, L. Thomas

{"title":"Underperforming performance measures? A review of measures for loss given default models","authors":"K. Bijak, L. Thomas","doi":"10.21314/JRMV.2018.186","DOIUrl":"https://doi.org/10.21314/JRMV.2018.186","url":null,"abstract":"As far as Probability of Default (PD) prediction is concerned, the model performance is typically measured with the Gini coefficient and/or the Kolmogorov-Smirnov (KS) statistic. For Loss Given Default (LGD) models, there are no standard performance measures, though, and more than 15 different measures are used, including Mean Square Error (MSE), Mean Absolute Error (MAE), coefficient of determination (R-squared) as well as correlation coefficients between the observed and predicted LGD. However, some measures cannot be readily recommended for LGD models, even though they have been used for this purpose. It is argued that there are measures that should only be employed for specific types of models. It is also pointed out that some measures can be applied interchangeably to avoid information redundancy. Moreover, the Area Under the Receiver Operating Characteristic Curve (AUC) is critically discussed in the LGD context. Four new measures are then proposed: Mean Area Under the Receiver Operating Characteristic Curve (MAUROC), Mean Accuracy Ratio (MAR), Mean Enhanced Lin-Lin Error (MELLE) and a generalized lift. The review is illustrated using an empirical example.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"4 1","pages":"1-28"},"PeriodicalIF":0.7,"publicationDate":"2018-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79392875","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

The validation of filtered historical value-at-risk models 过滤历史风险值模型的验证

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-03-15 DOI: 10.21314/JRMV.2018.185

Pedro Gurrola-Perez

引用次数: 5

Validation of profit and loss attribution models for equity derivatives 股权衍生品损益归因模型的验证

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-03-13 DOI: 10.21314/JRMV.2018.184

D. Madan, King Wang

引用次数: 0