{"title":"A prudent loss given default estimation for mortgages","authors":"Bogie Ozdemir","doi":"10.21314/JRMV.2016.161","DOIUrl":"https://doi.org/10.21314/JRMV.2016.161","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"3 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83955010","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}
{"title":"A quick tool to forecast value-at-risk using implied and realized volatilities","authors":"Francesco Cesarone, Stefano Colucci","doi":"10.21314/JRMV.2016.163","DOIUrl":"https://doi.org/10.21314/JRMV.2016.163","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"24 3","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72472725","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}
{"title":"Risk reduction in a time series momentum trading strategy","authors":"K. Hong, K. Park, Yong Woong Lee","doi":"10.21314/JRMV.2016.162","DOIUrl":"https://doi.org/10.21314/JRMV.2016.162","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"17 1","pages":"55-70"},"PeriodicalIF":0.7,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74089561","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}
{"title":"On modeling zero-inflated insurance data","authors":"J. M. P. Sánchez, E. Gómez–Déniz","doi":"10.21314/JRMV.2016.160","DOIUrl":"https://doi.org/10.21314/JRMV.2016.160","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"60 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72729601","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}
{"title":"Some options for evaluating significant deterioration under IFRS 9","authors":"G. Chawla, L. Forest, Scott D. Aguais","doi":"10.21314/JRMV.2016.158","DOIUrl":"https://doi.org/10.21314/JRMV.2016.158","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"12 1","pages":"69-89"},"PeriodicalIF":0.7,"publicationDate":"2016-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90231818","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}
{"title":"A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information","authors":"Tae Yeon Kwon","doi":"10.21314/JRMV.2016.156","DOIUrl":"https://doi.org/10.21314/JRMV.2016.156","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"29 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80905922","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}
{"title":"Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model","authors":"Imed Gammoudi, Mohamed El Ghourabi, L. Belkacem","doi":"10.21314/JRMV.2016.157","DOIUrl":"https://doi.org/10.21314/JRMV.2016.157","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80048366","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}
{"title":"Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation","authors":"Zunwei Du","doi":"10.21314/jrmv.2016.155","DOIUrl":"https://doi.org/10.21314/jrmv.2016.155","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"4 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90737778","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}
{"title":"A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration","authors":"M. Rubtsov, A. Petrov","doi":"10.21314/JRMV.2016.154","DOIUrl":"https://doi.org/10.21314/JRMV.2016.154","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"10 1","pages":"83-112"},"PeriodicalIF":0.7,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75650481","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}
{"title":"Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates","authors":"S. Choi","doi":"10.21314/JRMV.2016.151","DOIUrl":"https://doi.org/10.21314/JRMV.2016.151","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2016-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89798579","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}
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