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
Impact Factor: 0.485
5-Year Impact Factor: 0.429
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
The objective of this paper is to select effective risk indicators and thus establish a risk index system of P2P platforms so as to evaluate the risk performance of these platforms in China.
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
In this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented.
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
In this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry.
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
This paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
This paper considers the empirical evaluation of a collective risk model with the geometric as the primary distribution and the exponential as the secondary distribution.
The author introduces the triangular approximation to the normal distribution in order to extract closed- and semi-closed-form solutions that are useful in risk measurement calculations.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.