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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.
- Journal of Risk Model Validation Volume 16, Number 1 (March 2022)
Volume 16, Number 1 (March 2022) In this paper a simple...
- Journal of Risk Model Validation Volume 16, Number 1 (March 2022)
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.
1 Μαρ 2022 · Volume 16, Number 1 (March 2022) In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test. Read Now Download PDF.
19 Μαρ 2019 · In this paper, we discuss how model validation principles and methods developed in systems engineering research are applicable across a variety of modeling methodologies and domain areas for the reduction of model risk.
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. ·....
The paper draws a general framework for asset and default dynamics, separating the influence of the economic cycle into a component which is embedded in the rating system and an unobservable risk...
Model risk refers to the possibility that a model used to assess financial risks does not accurately capture all necessary variations, and potentially understates inherent hazards stemming from very rare yet plausible
