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
A proposed framework for backtesting loss given default models
Credit scoring optimization using the area under the curve
A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions
Response to the comment by L. R. Forest Jr., G. Chawla and S. D. Aguais
Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems” by M. Carlehed and A. Petrov
Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
The daily returns of the Portuguese Stock Index: a distributional characterization
Multirating decision model validation: the relevance of the quality of securitization issues
Individual and flexible expected shortfall backtesting
Expected loss and Impact of Risk: backtesting parameter-based expected loss in a Basel II framework
Toward model value-at-risk: bespoke CDO tranches, a case study
An algorithmic model for retail credit portfolio segmentation
An integrated stress testing framework via Markov switching simulation
Modeling value-at-risk for international portfolios in different jump-diffusion processes
Probability of default validation: introducing the likelihood-ratio test and power considerations
Loss given default modeling: a comparative analysis
Economic capital model validation: a comparative study
Computing a standard error for the Gini coefficient: an application to credit risk model validation
Credit portfolio models in the presence of forward-looking stress events