The utility of Basel III rules on excessive violations of internal risk models

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The journal of risk model validation
1. Verfasser: Tarrant, Wayne (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2019
Schlagworte:
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Titel Jahr Verfasser
Performance validation of representative sample-balancing methods in loan credit-scoring scenarios 2022 Chen, Ling-Jia
Estimating value-at-risk using quantile regression and implied volatilities 2022 Lange, Petter Eilif de
Model risk in mortality-linked contingent claims pricing 2022 Peters, Gareth
Quantifying model selection risk in macroeconomic sensitivity models 2022 Breeden, Joseph L.
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio 2022 Jacobs, Michael
Modeling credit risk in the presence of central bank and government intervention 2022 Engelmann, Bernd
The importance of window size : a study on the required window size for optimal-quality market risk models 2022 Buczyński, Mateusz
Expected shortfall model based on a neural network 2022 Doncic, Sanja
Model risk qualification based on relative entropy 2022 Arrieta, Daniel
Scenario design for macrofinancial stress testing 2022 De Meo, Emanuele
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals 2022 Fan, Mengting
Risk contagion and bank stability : the role of credit risk and liquidity risk 2022 Ding, Lei
Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective 2022 Zhang, Tong
An end-to-end deep learning approach to credit scoring using CNN + XGBoost on transaction data 2022 Hjelkrem, Lars Ole
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 2022 Stein, Roger M.
Can we take the "stress" out of stress testing? : applications of generalized structural equation modeling to consumer finance 2022 Canals-Cerdá, José
A verification model to capture option risk and hedging based on a modified underlying beta 2021 Shen, Chuan-He
Beyond the contract : client behavior from origunation to default as the new set of the loss given default risk drivers 2021 Starosta, Wojciech
What can we learn from what a machine has learned? : interpreting credit risk machine learning models 2021 Bharodia, Nehalkumar
Nonconvex noncash risk measures 2021 Cong, Chang
Alle Artikel auflisten