{"title":"The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence","authors":"Jiun-Lin Chen,Hyosoek Hwang","doi":"10.21314/jrmv.2018.190","DOIUrl":"https://doi.org/10.21314/jrmv.2018.190","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":" 22","pages":""},"PeriodicalIF":0.7,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494473","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":"Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge","authors":"Sascha Wilkens,Mirela Predescu","doi":"10.21314/jrmv.2018.198","DOIUrl":"https://doi.org/10.21314/jrmv.2018.198","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"4 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138517047","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":"The use of the triangular approximation for some complicated risk measurement calculations","authors":"Nick Georgiopoulos","doi":"10.21314/JRMV.2017.179","DOIUrl":"https://doi.org/10.21314/JRMV.2017.179","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"38 1","pages":"69-98"},"PeriodicalIF":0.7,"publicationDate":"2017-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79289386","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 the correlation and parametric approaches to calculation of credit value adjustment","authors":"Tao Pang, Wei Chen, Le Li","doi":"10.21314/JRMV.2017.177","DOIUrl":"https://doi.org/10.21314/JRMV.2017.177","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"4 1","pages":"49-67"},"PeriodicalIF":0.7,"publicationDate":"2017-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90505184","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}
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.
{"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}
{"title":"A practical maturity assessment method for model risk management in banks","authors":"L. V. Biljon, L. Haasbroek","doi":"10.21314/JRMV.2017.171","DOIUrl":"https://doi.org/10.21314/JRMV.2017.171","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"127 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2017-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86412807","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 gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies","authors":"Jiaming Liu, Chong Wu","doi":"10.21314/JRMV.2017.170","DOIUrl":"https://doi.org/10.21314/JRMV.2017.170","url":null,"abstract":"","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"183 1","pages":"43-64"},"PeriodicalIF":0.7,"publicationDate":"2017-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74085106","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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