Model validation

Solvency II

UK insurers’ internal model validation processes 'hugely inefficient'

Firms struggling with validating external models, expert judgement and risk dependencies, say experts

19 Feb 2014

Original research

The daily returns of the Portuguese Stock Index: a distributional characterization

18 Dec 2013

Risk management

Hedge backtesting for model validation

Hedge backtesting for model validation

20 Sep 2013

Original research

An integrated stress testing framework via Markov switching simulation

27 Jun 2013

Original research

Probability of default validation: introducing the likelihood-ratio test and power considerations

27 Jun 2013

Original research

Loss given default modeling: a comparative analysis

27 Mar 2013

Original research

Computing a standard error for the Gini coefficient: an application to credit risk model validation

27 Mar 2013

Original research

Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility

18 Dec 2012

Original research

Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets

18 Dec 2012

Original research

Capturing value-at-risk in futures markets: a revised filtered historical simulation approach

18 Dec 2012

Original research

Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation

18 Dec 2012

Original research

The effect of variant sample sizes and default rates on validation metrics for probability of default models

13 Jan 2012

Original research

Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios

15 Dec 2010

Original research

Testing retail lending models for missing cross-terms

15 Dec 2010

Original research

Evaluation of credit portfolio models: test statistics for density-based tests

15 Dec 2010

Original research

Validation mythology of maturity adjustment formula for Basel II capital requirement

Research Papers

01 Oct 2009

Original research

Validation techniques and performance metrics for loss given default models

Research Papers

01 Oct 2009

Original research

Wavelet analysis of business cycles for validation of probability of default: what is the influence of the current credit crisis on model validation?

01 Apr 2009

Original research

Worst-case asset, default and survival time correlations

29 Dec 2008

Original research

Stress-testing retail loan portfolios with dual-time dynamics

25 Sep 2008

Original research

Discriminatory power: an obsolete validation criterion?

25 Jun 2008

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