| An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data |
1 |
| The utility of Basel III rules on excessive violations of internal risk models |
1 |
| Underperforming performance measures? A review of measures for loss given default models |
1 |
| Validation of profit and loss attribution models for equity derivatives |
1 |
| The validation of filtered historical value-at-risk models |
1 |
| Evaluating the risk performance of online peer-to-peer lending platforms in China |
1 |
| Analytical expressions of risk quantities for composite models |
0 |
| Optimal allocation of model risk appetite and validation threshold in the Solvency II framework |
0 |
| A risk-sensitive approach for stressed transition probability matrixes |
0 |
| Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios |
0 |
| The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence |
0 |
| Shrunk volatility value-at-risk: an application on US balanced portfolios |
0 |
| Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation |
0 |
| A central limit theorem formulation for empirical bootstrap value-at-risk |
0 |
| On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/validation |
0 |
| Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting |
0 |
| Quantification of model risk in stress testing and scenario analysis |
0 |
| Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study |
0 |
| Risk data validation under BCBS 239 |
0 |
| An advanced hybrid classification technique for credit risk evaluation |
0 |
| Model risk management: from epistemology to corporate governance |
0 |
| Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models |
0 |
| Model risk tiering: an exploration of industry practices and principles |
0 |
| Credit portfolio stress testing using transition matrixes |
0 |
| Evaluating the credit exposure of interest rate derivatives under the real-world measure |
0 |
| Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice |
0 |
| A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets |
0 |
| Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge |
0 |
