Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
About this journal
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:
Journal Impact Factor: 0.250
5-Year Impact Factor: 0.325
CiteScore: 0.5
Latest papers
Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility
Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets
Capturing value-at-risk in futures markets: a revised filtered historical simulation approach
Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation
Modeling issuer default risk in basket default swaps: the impact of default correlation
Empirically testing for the location–scale condition: a review of the economic literature
A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems
Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
Further recipes for quantitative reverse stress testing
Probability of default validation: a single-year and a multiyear methodology for the Basel framework
Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis
A realistic approach for estimating and modeling loss given default
The effect of imperfect data on default prediction validation tests
Quantifying model risk within a CreditRisk+ framework
On bounds for model calibration uncertainty
Stress testing a retail loan portfolio: an error correction model approach
Model validation: theory, practice and perspectives
The effect of variant sample sizes and default rates on validation metrics for probability of default models
On the time scaling of value-at-risk with trading
The fallacy of an overly simplified asymptotic single-risk-factor model