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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 2022 · Volume 16, Number 4 (December 2022) The authors validate 12 of the most representative sample-balancing methods used for credit-scoring models, finding that a combined SMOTE and Editor Nearest Neighbor method is optimal. Read Now Download PDF.
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.
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.
Journal of Risk Model Validation. Published by. Print ISSN: 1753-9579. Recent articles. Bayesian backtesting for counterparty risk models. New. Article. June 2023. Mante Zelvyte. ·....
We introduce a data driven notion of model risk which includes the features of the research-oriented approach by extending it by a statistical model building procedure and therefore...
