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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.
3 Σεπ 2022 · Volume 16, Number 3 (September 2022) The authors investigate the influence of model risk on pricing life products and demonstrate that classical Lee-Carter-type models can be less accurate than the proposed model. Read Now Download PDF.
4 Δεκ 2018 · Our first paper is “A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets” by Saeed Shaker-Akhtekhane, Mohsen Seighali and Solmaz Poorabbas. This looks at the performance of different value-at-risk (VaR) calculation methods.
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.
To check the efficiency and viability of the proposed model, we use three imbalanced data sets: Chinese farmer credit, Chinese small and medium-sized enterprise (SME) credit and German credit. We...
Standard practice models used in Value at Risk estimation such as the deltanormal model, the covariance simulation model, with or without Risk Metrics covariance matrix, and the historical ...
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.
