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The Journal of Risk Model Validation
Latest Publications
TOTAL DOCUMENTS
244
(FIVE YEARS 46)
H-INDEX
12
(FIVE YEARS 1)
Published By Infopro Digital
1753-9579
Latest Documents
Most Cited Documents
Contributed Authors
Related Sources
Related Keywords
Latest Documents
Most Cited Documents
Contributed Authors
Related Sources
Related Keywords
A hybrid model for credit risk assessment: empirical validation by real-world credit data
The Journal of Risk Model Validation
◽
10.21314/jrmv.2020.228
◽
2021
◽
Vol 14
(4)
◽
pp. 1-39
Author(s):
Guotai Chi
◽
Mohammad Uddin
◽
Tabassum Habib
◽
Ying Zhou
◽
Rashidul Islam
◽
...
Keyword(s):
Risk Assessment
◽
Credit Risk
◽
Hybrid Model
◽
Real World
◽
Empirical Validation
◽
Credit Risk Assessment
◽
Credit Data
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Research on listed companies’ credit ratings, considering classification performance and interpretability
The Journal of Risk Model Validation
◽
10.21314/jrmv.2020.232
◽
2021
◽
Vol 15
(1)
◽
pp. 19-47
Author(s):
Zhe Li
◽
Guotai Chi
◽
Ying Zhou
◽
Wenxuan Liu
Keyword(s):
Credit Ratings
◽
Listed Companies
◽
Classification Performance
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Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
The Journal of Risk Model Validation
◽
10.21314/jrmv.2020.234
◽
2021
◽
Vol 15
(1)
◽
pp. 69-91
Author(s):
Wojciech Starosta
Keyword(s):
Default Risk
◽
Loss Given Default
◽
Client Behavior
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A prudent loss given default estimation for mortgages. II
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.008
◽
2021
◽
Author(s):
Bogie Ozdemir
◽
Emma Huang
Keyword(s):
Loss Given Default
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Backtesting of a probability of default model in the point-in-time–through-the-cycle context
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.009
◽
2021
◽
Author(s):
Mark Rubtsov
Keyword(s):
Probability Of Default
◽
Default Model
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A pricing model with dynamic credit rating transition matrixes
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.007
◽
2021
◽
Author(s):
Yun-Cheng Tsai
◽
Sheng-Hsuan Lin
◽
Yuh-Dauh Lyuu
Keyword(s):
Credit Rating
◽
Pricing Model
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What can we learn from what a machine has learned? Interpreting credit risk machine learning models
The Journal of Risk Model Validation
◽
10.21314/jrmv.2020.235
◽
2021
◽
Author(s):
Nehalkumar Bharodia
◽
Wei Chen
Keyword(s):
Machine Learning
◽
Credit Risk
◽
Learning Models
◽
Machine Learning Models
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Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.010
◽
2021
◽
Author(s):
Mark Rubtsov
Keyword(s):
Probability Of Default
Download Full-text
Empirical validation of the credit rating migration model for estimating the migration boundary
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.002
◽
2021
◽
Author(s):
Yang Lin
◽
Jin Liang
Keyword(s):
Credit Rating
◽
Empirical Validation
◽
Migration Model
Download Full-text
Nonconvex noncash risk measures
The Journal of Risk Model Validation
◽
10.21314/jrmv.2021.004
◽
2021
◽
Author(s):
Chang Cong
◽
Peibiao Zhao
Keyword(s):
Risk Measures
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