Journal of Risk Model Validation最新文献_第8页

The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence 基于消费的资产定价模型隐含的可预测性:对理论和实证证据的回顾

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2018-01-01 DOI: 10.21314/jrmv.2018.190

Jiun-Lin Chen,Hyosoek Hwang

引用次数: 0

Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge 《交易手册基础评论》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 : 2018-01-01 DOI: 10.21314/jrmv.2018.198

Sascha Wilkens,Mirela Predescu

引用次数: 0

New historical bootstrap value-at-risk model 新的历史自举风险价值模型

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-12-01 DOI: 10.21314/JRMV.2017.173

Nikola Radivojević, Zorana Sobat-Matic, B. Mirjanić

引用次数: 4

Bayesian analysis in an aggregate loss model: validation of the structure functions 总损失模型中的贝叶斯分析:结构函数的验证

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-09-07 DOI: 10.21314/JRMV.2017.176

A. Hernández-Bastida, J. M. Pérez-Sánchez, M. Fernández-Sánchez

{"title":"Bayesian analysis in an aggregate loss model: validation of the structure functions","authors":"A. Hernández-Bastida, J. M. Pérez-Sánchez, M. Fernández-Sánchez","doi":"10.21314/JRMV.2017.176","DOIUrl":"https://doi.org/10.21314/JRMV.2017.176","url":null,"abstract":"Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific intercepts. Sensitivity to the common score is generally not differentiated between rank outcomes. We propose an ordinal model based on forward ordinal probabilities for rank outcomes. In addition to the common score and intercepts, the forward ordinal probabilities are formulated by the rankand rating-specific sensitivity (for a risk-rated portfolio). This rank-specific sensitivity allows a risk rating to respond to its migrations to default, downgrade, stay and upgrade accordingly. A parameter estimation approach based on maximum likelihood for observing rank-outcome frequencies is proposed. Applications of the proposed model include modeling rating migration probability for point-in-time probability of default term structure for International Financial Reporting Standard 9 expected credit loss estimation and Comprehensive Capital Analysis and Review stress testing. Unlike the rating transition model based on the Merton model, which allows only one sensitivity Print ISSN 1753-9579 j Online ISSN 1753-9587 © 2017 Infopro Digital Risk (IP) Limited 1 Copyright © 2017 Inf i i To subscribe to a Risk Journal visit subscriptions.risk.net/journals or email info@risk.net","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"53 1","pages":"19-47"},"PeriodicalIF":0.7,"publicationDate":"2017-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86926932","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

The use of the triangular approximation for some complicated risk measurement calculations 利用三角近似进行一些复杂的风险度量计算

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-09-07 DOI: 10.21314/JRMV.2017.179

Nick Georgiopoulos

引用次数: 0

On the correlation and parametric approaches to calculation of credit value adjustment 信贷价值调整计算的相关性与参数化方法研究

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-08-18 DOI: 10.21314/JRMV.2017.177

Tao Pang, Wei Chen, Le Li

引用次数: 1

Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing 资产价格泡沫与信贷风险资本量化的敏感性分析、实证实施及压力测试应用

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-08-03 DOI: 10.21314/JRMV.2017.178

Michael Jacobs

{"title":"Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing","authors":"Michael Jacobs","doi":"10.21314/JRMV.2017.178","DOIUrl":"https://doi.org/10.21314/JRMV.2017.178","url":null,"abstract":"This study presents an analysis of the impact of asset price bubbles on standard credit risk measures, including Expected Loss (“EL”) and Credit Value-at-Risk (“CVaR”). We present a styled model of asset price bubbles in continuous time, and perform a simulation experiment of a 2 dimensional Stochastic Differential Equation (“SDE”) system for asset value determining Probability of Default (“PD”) through a Constant Elasticity of Variance (“CEV”) process, as well as a correlated a Loss-Given-Default (“LGD”) through a mean reverting Cox-Ingersoll-Ross (“CIR”) process having a long-run mean dependent upon the asset value. Comparing bubble to non-bubble economies, it is shown that asset price bubbles may cause an obligor’s traditional credit risk measures, such as EL and CVaR to decline, due to a reduction in the right skewness of the credit loss distribution. We propose a new risk measure in the credit risk literature to account for losses associated with a bubble bursting, the Expected Holding Period Credit Loss (“EHPCL”). We present evidence that asset price bubbles are a phenomenon that must be taken into consideration in the proper determination of economic capital for both credit risk management and measurement purposes. We also perform a sensitivity analysis of the SDE parameters upon the resulting credit risk measures, as well as the changes in their relationship to the CEV parameter, illustrating an application of an important model validation procedure.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"29 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2017-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81815368","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 practical maturity assessment method for model risk management in banks 银行模型风险管理中一种实用的期限评估方法

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-08-03 DOI: 10.21314/JRMV.2017.171

L. V. Biljon, L. Haasbroek

引用次数: 0

Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic 金融学中的简单模型:概率识别启发式的数学分析

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2017-06-02 DOI: 10.21314/JRMV.2017.175

Martín Egozcue, Luis Fuentes García, K. Katsikopoulos, M. Smithson

引用次数: 1

A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies 基于梯度增强决策树的企业破产预测——基于中国上市公司的实证模型评价