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This issue of The Journal of Risk Model Validation commences with a paper by Pilar Abad, Sonia Benito Muela and Carmen López Martín entitled "The role of the loss function in value-at-risk comparisons",...
ABSTRACT We demonstrate how introducing economic variables into a credit scorecard improves the predictive power of that scorecard. Such a scorecard can forecast default rates accurately, even when economic...
ABSTRACT In this paper, we discuss the evolution of the financial economic events that preceded the triggering of the subprime crisis. This crisis shares similarities with episodes that occurred in the...
ABSTRACT This paper examines whether the comparison of value-at-risk (VaR) models depends on the loss function used for such a purpose.We showa detailed comparison for several VaR models for two groups...
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