Journal of Risk Model Validation

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:
Impact Factor: 0.485
5-Year Impact Factor: 0.429
CiteScore: 0.25

 

Risk data validation under BCBS 239

Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.

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