Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
About this journal
As monetary institutions rely greatly on economic and financial models for a wide array of applications, model validation has become progressively inventive within the field of risk. The Journal of Risk Model Validation focuses on the implementation and validation of risk models, and aims to provide a greater understanding of key issues including the empirical evaluation of existing models, pitfalls in model validation and the development of new methods. We also publish papers on back-testing. Our main field of application is in credit risk modelling but we are happy to consider any issues of risk model validation for any financial asset class.
The Journal of Risk Model Validation considers submissions in the form of research papers on topics including, but not limited to:
- Empirical model evaluation studies
- Backtesting studies
- Stress-testing studies
- New methods of model validation/backtesting/stress-testing
- Best practices in model development, deployment, production and maintenance
- Pitfalls in model validation techniques (all types of risk, forecasting, pricing and rating)
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; Econbiz; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.250
5-Year Impact Factor: 0.325
CiteScore: 0.5
Latest papers
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Backtesting Solvency II value-at-risk models using a rolling horizon
The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds.
Biased benchmarks
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
The effect of introducing economic variables into credit scorecards: an example from invoice discounting
Country risk index and sovereign ratings: do they foresee financial crises?
The role of the loss function in value-at-risk comparisons
Backtesting general spectral risk measures with application to expected shortfall
The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate
Backtesting for counterparty credit risk
Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models
Liquidity effects on value-at-risk limits: construction of a new VaR model
Modeling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Conditioned likelihood estimation of nonnormal distributions: risk estimation of credit portfolios in stressed markets
Validation of term structure forecasts with factor models
Sensitivity analysis of risk measurement for catastrophe losses caused by natural disasters
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Backtesting value-at-risk tail losses on a dynamic portfolio
An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Volume 8, Issue 2 (2014)
Review, theory and implementation of convertible bonds for commercial investment
Modeling portfolio risk by risk discriminatory trees and random forests