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Homeen-gbQuantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolioThis paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
https://www.risk.net/journal-of-risk-model-validation/7954888/quantification-of-model-risk-with-an-application-to-probability-of-default-estimation-and-stress-testing-for-a-large-corporate-portfolio
https://www.risk.net/journal-of-risk-model-validation/7954888/quantification-of-model-risk-with-an-application-to-probability-of-default-estimation-and-stress-testing-for-a-large-corporate-portfolio
Tue, 18 Oct 2022 12:40:48 +0100 A generic stress testing framework with related economic shocks and possible regulatory interventionIn this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
https://www.risk.net/journal-of-risk/6685861/a-generic-stress-testing-framework-with-related-economic-shocks-and-possible-regulatory-intervention
https://www.risk.net/journal-of-risk/6685861/a-generic-stress-testing-framework-with-related-economic-shocks-and-possible-regulatory-intervention
Fri, 31 May 2019 09:40:45 +0100 Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testingThis paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
https://www.risk.net/journal-of-risk-model-validation/5312446/asset-price-bubbles-and-the-quantification-of-credit-risk-capital-with-sensitivity-analysis-empirical-implementation-and-an-application-to-stress-testing
https://www.risk.net/journal-of-risk-model-validation/5312446/asset-price-bubbles-and-the-quantification-of-credit-risk-capital-with-sensitivity-analysis-empirical-implementation-and-an-application-to-stress-testing
Thu, 17 Aug 2017 11:03:58 +0100