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Journal of Risk Model Validation最新文献

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Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk 股票跳跃对房地产投资信托收益影响的建模及风险价值的应用
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-05-22 DOI: 10.21314/JRMV.2017.172
Feng Chen
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引用次数: 0
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming 用二阶锥规划从反向压力测试的角度预测情景
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-05-17 DOI: 10.21314/JRMV.2017.166
Katsuhiro Tanaka
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引用次数: 5
Goodness-of-fit for discrete-choice models of borrower default 借款人违约离散选择模型的拟合优度
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-04-21 DOI: 10.21314/JRMV.2017.169
Arden R. Hall
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引用次数: 0
Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration” Rubtsov和Petrov(2016)的附录:“评级分配和默认校准概率的贯穿周期的时间点方法”
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-02-15 DOI: 10.21314/JRMV.2017.174
T. Pyttlik, M. Rubtsov, A. Petrov
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引用次数: 0
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy 一种为信用风险压力测试开发稳健模型的模型组合方法:在压力大的经济体中的应用
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-02-13 DOI: 10.21314/JRMV.2017.168
Georgios Papadopoulos
{"title":"A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy","authors":"Georgios Papadopoulos","doi":"10.21314/JRMV.2017.168","DOIUrl":"https://doi.org/10.21314/JRMV.2017.168","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"84 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2017-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78070524","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: 5
Asset correlations and procyclical impact 资产相关性和顺周期影响
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-02-09 DOI: 10.21314/JRMV.2017.165
Kung‐Cheng Ho, Jiun-Lin Chen, Shih‐Cheng Lee
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引用次数: 4
The profit-and-loss attribution test 损益归因测试
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-01-01 DOI: 10.21314/JRMV.2017.180
Peter J. Thompson, Hayden Luo, K. Fergusson
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引用次数: 1
Point-in-time probability of default term structure models for multiperiod scenario loss projection 多期情景损失预测的违约期限结构模型的时间点概率
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-01-01 DOI: 10.21314/JRMV.2017.164
Bill Huajian Yang
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引用次数: 2
Governance and organizational requirements for effective model risk management 有效模型风险管理的治理和组织要求
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2017-01-01 DOI: 10.21314/JRMV.2017.188
Dennis E. Bennett
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引用次数: 3
Consensus information and consensus rating: a simulation study on rating aggregation 共识信息与共识评级:评级聚合的仿真研究
IF 0.7 4区 经济学
Journal of Risk Model Validation Pub Date : 2016-11-01 DOI: 10.21314/JRMV.2016.159
C. Lehmann, Daniel Tillich
{"title":"Consensus information and consensus rating: a simulation study on rating aggregation","authors":"C. Lehmann, Daniel Tillich","doi":"10.21314/JRMV.2016.159","DOIUrl":"https://doi.org/10.21314/JRMV.2016.159","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"24 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86953061","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: 1
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