Journals / Journal of Risk Model Validation
The Journal of Risk Model ValidationLed by Editor-in-Chief Steve Satchell from Cambridge University, and a respected Editorial Board, this international refereed journal focuses on the implementation and validation of risk models. It aims at promoting a greater understanding of the key issues including the empirical evaluation of existing models, pitfalls in model validation and the development of new methods, and is of particular use to practitioners striving to improve their models and modelling developments. More... |
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Latest Issue: Volume 7/Number 1, Spring 2013
Steve Satchell Trinity College, University of Cambridge Our journal's subject matter continues to evolve in response to current issues. This is clearly a very healthy process and is of obvious benefit...
Steve Satchell Trinity College, University of Cambridge The conference season is, for me at least, well-defined as the three months covering September to November, and I have attended, and in some...
Steve SatchellTrinity College, University of Cambridge This fall issue of The Journal of Risk Model Validation brings together three papers with a credit focus and one paper that is a more general methodological...
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More Journals / Journal of Risk Model Validation articles
Volume 6/Number 2, Summer 2012
Steve Satchell Trinity College, University of Cambridge This issue of The Journal of Risk Model Validation is split between the more formal notion of model validation and the more general one of backtesting. If I was capable of time travel, I would,...
Volume 6/Number 1, Spring 2012
Steve Satchell University of Cambridge The current issue contains four papers covering the topics of model validation and stress testing. It may be that the distinction between these two concepts exists more in the titles of the papers than in the...
Journal of Risk Model Validation Volume 5/Number 4, Winter 2011/12
Steve Satchell Trinity College, University of Cambridge The current issue contains four papers. The first of these is by Patrick Henaff and Claude Martini and is titled "Model validation: theory, practice and perspectives". It addresses the July 2009...
Journal of Risk Model Validation Volume 5/Number 3, Fall 2011
Steve Satchell University of Cambridge We live in an environment in I am writing this editorial in early September having endured another quarter of extreme volatility and I can comment that the one bright aspect is an increased demand for risk model...
Journal of Risk Model Validation Volume 5/Number 2, Summer 2011
Stefan Blochwitz Deutsche Bundesbank We live in an environment in The basics of the theory of modeling credit risk at the portfolio level have been known for around fifteen years, since CreditRiskC, CreditMetrics and Credit Portfolio View were launched...
Journal of Risk Model Validation Volume 5/Number 1, Spring 2011
Steve Satchell University of Cambridge We live in an environment in which concerns about the double dip are widespread, particularly in Europe, and especially in the UK and the Mediterranean countries. Whether our bankruptcy models are capable of...
Journal of Risk Model Validation Volume 4/Number 4, Winter 2010/11
Steve Satchell University of Cambridge In writing this editorial, I am aware of a backdrop of quantitative easing, which is claimed to bring about increased demand for credit-based products. While my reading on the subject, plus economics 101, seems...
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