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The Journal of Risk Model Validation

中文名称：风险模型验证杂志

ISSN：1753-9579
出版周期：Quarterly

发文量：124

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1.Evaluating the credit exposure of interest rate derivatives under the real-world measure

机译：评估现实情况下利率衍生工具的信用敞口
- 作者：Takashi Yasuoka
- 期刊名称：《The Journal of Risk Model Validation》 | 2018年第4期
2.A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets

机译：风险价值模型的全面评估及其在新兴市场中的表现比较
- 作者：Saeed Shaker-Akhtekhane;Mohsen Seighali;Solmaz Poorabbas
- 期刊名称：《The Journal of Risk Model Validation》 | 2018年第4期
- value-at-risk (VaR);
- model evaluation;
- emerging markets;
- backtesting;
- regulatory model ranking;
3.Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice

机译：返回回测：集成的回测，以评估风险价值和实践中预期的不足
- 作者：Carsten S. Wehn
- 期刊名称：《The Journal of Risk Model Validation》 | 2018年第4期
- backtesting;
- expected shortfall (ES);
- value-at-risk (VaR);
- elicitability;
- probability integral transformation;
- risk model validation;
4.LETTER FROM THE EDITOR-IN-CHIEF

机译：首席编辑的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2018年第4期
5.Quantification of model risk in stress testing and scenario analysis

机译：压力测试和场景分析中模型风险的量化
- 作者：Skoglund Jimmy
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第1期
- model risk;
- credit risk;
- stress testing;
- relative entropy;
6.On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation

机译：关于默认估计/验证的时间点和全周期概率的数学建模
- 作者：Zhang Xin;Tung Tony
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第1期
7.Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting

机译：将公差范围内的波动性纳入对交易策略和回测中
- 作者：Chen Cathy W. S.;Lin Tsai-Yu;Huang T. Y.
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第1期
- backtesting;
- one-sided tolerance interval;
- volatility forecast;
- exponentially weighted moving average (EWMA) model;
- spread;
8.LETTER FROM THE EDITOR-IN-CHIEF

机译：首席编辑的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第1期
9.The utility of Basel Ⅲ rules on excessive violations of internal risk models

机译：巴塞尔协议Ⅲ在过度违反内部风险模型方面的效用
- 作者：Tarrant Wayne
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第1期
- Basel III;
- historical risk measure;
- value-at-risk (VaR);
- risk management;
- energy markets;
- stock market indexes;
- expected shortfall (ES);
10.An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data

机译：使用优化特征选择方法的优化支持向量机智能技术：来自中国信贷审批数据的证据
- 作者：Abedin Mohammad Zoynul;Guotai Chi;Fahmida-E-Moula;Zhang Tong;Hassan M. Kabir
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- data mining;
- filter approach;
- embedded methods;
- training/testing instances;
- intelligent algorithms;
- credit risk evaluation;
11.Credit portfolio stress testing using transition matrixes

机译：使用过渡矩阵的信贷组合压力测试
- 作者：Neagu Radu;Lipsa Gabriel;Wu Jing;Lee Jake;Karm Stephane;Jordan John
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- credit risk;
- credit rating;
- stress testing;
- transition probability matrix;
- default rate;
- macroeconomic modeling;
12.LETTER FROM THE EDITOR-IN-CHIEF

机译：首席编辑的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
13.Model risk tiering: an exploration of industry practices and principles

机译：风险分层模型：行业实践和原则探索
- 作者：Kiritz Nick;Ravitz Miles;Levonian Mark
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- model risk tier;
- model risk rating;
- SR 11-7;
- OCC 2011-12;
- supervisory guidance on model risk management;
- model governance;
14.Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

机译：在内部模型的有针对性的审查下验证回测过程：有关默认模型概率的实用建议
- 作者：Prorokowski Lukasz
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- targeted review of internal models (TRIM);
- probability of default (PD);
- backtesting process;
- calibration;
- discrimination;
- stability;
15.LETTER FROM THE EDITOR-IN-CHIEF

机译：首席编辑的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第3期
16.Model risk management: from epistemology to corporate governance

机译：风险管理模型：从认识论到公司治理
- 作者：Hassani Bertrand K.
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第3期
- model risk;
- corporate governance;
- management;
- risk measurement;
- epistemology;
17.Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study

机译：通过错误发现率控制进行跳跃检测的非参数检验：蒙特卡洛研究
- 作者：Li Kaiqiao;He Kan;Nie Lizhou;Zhu Wei;Kuan Pei Fen
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第3期
- high-frequency financial data;
- reproducibility;
- p-value pooling;
- stochastic volatility (SV) model;
18.Risk data validation under BCBS 239

机译：BCBS 239下的风险数据验证
- 作者：Prorokowski Lukasz
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第3期
- BCBS 239;
- master data;
- data lineage;
- audit trail;
- data validation;
- targeted review of internal models (TRIM);
19.An advanced hybrid classification technique for credit risk evaluation

机译：一种用于信用风险评估的高级混合分类技术
- 作者：Wu Chong;Gao Dekun;Ma Qianqun;Wang Qi;Lu Yu
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第3期
- hybrid classifier;
- pattern recognition;
- cluster analysis;
- deep belief network (DBN);
- credit risk evaluation (CRE);
20.LETTER FROM THE EDITOR-IN-CHIEF

机译：首席编辑的信
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第1期
21.Measuring economic cycles in data

机译：衡量数据中的经济周期
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第1期
- economic cycles;
- effective sample size (ESS);
- winding numbers;
- state space reconstruction;
22.International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses

机译：国际财务报告准则9预期信用损失估计：用于估计投资组合损失和加权方案损失的高级模型
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第1期
- scenario weight;
- stressed expected credit loss;
- loss severity;
- recession probability;
- Vasicek distribution;
- probit mixed model;
23.Volatility forecasting: the role of internet search activity and implied volatility

机译：波动率预测：互联网搜索活动和隐含波动率的作用
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第1期
24.Incremental value-at-risk

机译：风险增量
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第1期
- Rao distribution;
- central limit theorem;
- operational risk;
- value-at-risk (VaR);
- capital value;
25.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
26.An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data

机译：使用优化特征选择方法的优化支持向量机智能技术：来自中国信用批准数据的证据
- 作者：Abedin Mohammad Zoynul;Guotai Chi;Fahmida-E-Moula;Zhang Tong;Hassan M. Kabir
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- data mining;
- filter approach;
- embedded methods;
- training/testing instances;
- intelligent algorithms;
- credit risk evaluation;
27.Model risk tiering: an exploration of industry practices and principles

机译：模型风险分层：探索行业实践和原则
- 作者：Kiritz Nick;Ravitz Miles;Levonian Mark
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- model risk tier;
- model risk rating;
- SR 11-7;
- OCC 2011-12;
- supervisory guidance on model risk management;
- model governance;
28.Credit portfolio stress testing using transition matrixes

机译：使用转换矩阵的信用组合应力测试
- 作者：Neagu Radu;Lipsa Gabriel;Wu Jing;Lee Jake;Karm Stephane;Jordan John
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- credit risk;
- credit rating;
- stress testing;
- transition probability matrix;
- default rate;
- macroeconomic modeling;
29.Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

机译：在内部模型的有针对性审查下验证反垄断过程：默认模型概率的实际建议
- 作者：Prorokowski Lukasz
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第2期
- targeted review of internal models (TRIM);
- probability of default (PD);
- backtesting process;
- calibration;
- discrimination;
- stability;
30.Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states

机译：老式的参数模型仍然是最好的：在几个波动性状态下的价值 - 风险方法的比较
- 作者：Buczynski Mateusz;Chlebus Marcin
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第2期
31.An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation

机译：投资组合价值估计中大动态协方差模型的实证评价
- 作者：Law Keith K. F.;Li Wai Keung;Yu Philip L. H.
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第2期
- portfolio value-at-risk (VaR);
- dynamic covariance modeling;
- empirical evaluation;
- shrinkage;
- regularization;
32.Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns

机译：风险中立密度：估算资产价格下面的非正规期权的先进方法
- 作者：Santos Andre;Guerra Joao
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第2期
- risk-neutral density;
- option pricing;
- Levy processes;
- natural spline;
- hypergeometric function;
- Brazilian real exchange rate;
33.An alternative statistical framework for credit default prediction

机译：信用默认预测的替代统计框架
- 作者：Uddin Mohammad Shamsu;Chi Guotai;Habib Tabassum;Zhou Ying
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第2期
34.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第2期
35.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Steve Satchell
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第4期
36.A study on window-size selection for threshold and bootstrap value-at-risk models

机译：阈值和引导值的窗口大小选择的研究
- 作者：Anri Smith;Chun-Kai Huang
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第4期
- value-at-risk (VaR);
- window size;
- threshold;
- bootstrap;
- change point;
37.Quantification of the estimation risk inherent in loss distribution approach models

机译：量化损耗分布方法模型固有的估计风险
- 作者：K. Panman;L. van Biljon;L. J. Haasbroek;W. D. Schutte;T. Verster
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第4期
38.Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk

机译：欧洲能源市场的价值风险：比较参数，历史模拟和分位数回归值 - 风险
- 作者：Sjur Westgaard;Gisle Hoel Arhus;Marina Frydenberg;Stein Frydenberg
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第4期
- RiskMetrics;
- historical simulation (HS);
- quantile regression (QR);
- value-at-risk (VaR);
- European energy future markets;
- risk analysis;
39.Validation of index and benchmark assignment: adequacy of capturing tail risk

机译：验证指数和基准作业：捕获尾风险的充分性
- 作者：Lukasz Prorokowski
- 期刊名称：《The Journal of Risk Model Validation》 | 2019年第4期
- Targeted Review of Internal Models (TRIM);
- validation;
- risk proxy;
- Kolmogorov Smirnov test;
- tail risk;
40.The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets

机译：基于范围的波动率估算在国际资本市场风险风险中试验中的试验
- 作者：Faldzinski Marcin;Osinska Magdalena
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第3期
- volatility estimators;
- regulator loss function;
- firm loss function;
- extreme value theory (EVT);
- risk transfer;
41.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第3期
42.A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies

机译：K-Means ++ - 改进了公司金融危机的神经网络模型预警：中国上市公司的实证验证
- 作者：Lv Danyang;Wu Chong;Dong Linxiao
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第3期
43.Benchmarking loss given default discount rates

机译：基准损失给定默认折扣率
- 作者：Scheule Harald;Jortzik Stephan
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第3期
- default;
- discount rates;
- Global Credit Data (GCD);
- loss given default (LGD);
- recovery;
- resolution;
- systematic risk;
44.A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry

机译：信用风险压力测试的FAVAR建模方法及其在香港银行业的应用
- 作者：Wang Zhifeng;Wei Fangying
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第3期
45.A hybrid model for credit risk assessment: empirical validation by real-world credit data

机译：信用风险评估的混合模型：现实世界信用数据的经验验证
- 作者：Chi Guotai;Uddin Mohammad;Habib Tabassum;Zhou Ying;Islam Md Rashidul;Chowdhury Md Asad
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第4期
- statistical methods;
- artificial intelligent;
- hybrid classifier;
- credit risk;
- multilayer perceptron;
46.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第4期
47.LETTER FROM THE EDITOR-IN-CHIEF

机译：主编的信
- 作者：Satchell Steve
- 期刊名称：《The Journal of Risk Model Validation》 | 2021年第1期
48.How accurate is the accuracy ratio in credit risk model validation?

机译：信用风险模型验证中的准确比率是多大准确的？
- 作者：van der Burgt Marco
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第4期
49.Statistical properties of the population stability index

机译：人口稳定性指数的统计特性
- 作者：Yurdakul Bilal;Naranjo Joshua
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第4期
- population stability;
- divergence;
- model validation;
- model monitoring;
- model risk;
- credit risk;
50.Determination of weights for an optimal credit rating model based on default and nondefault distance maximization

机译：基于默认和非默认距离最大化的最佳信用评级模型的权重
- 作者：Chi Guotai;Yuan Kunpeng;Zhou Ying;Gong Lingling
- 期刊名称：《The Journal of Risk Model Validation》 | 2020年第4期
- credit rating;
- optimal indicator weight;
- discrimination of default status;
- multi-objective program;
51.Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts

机译：双分离接收器操作特性曲线：用于在信用评分环境中生成接收器操作特征曲线的公式
- 作者：Kochanski Blazej
- 期刊名称：《The Journal of Risk Model Validation》 | 2021年第1期
- credit scoring;
- Gini coefficient;
- lending;
- receiver operating characteristic (ROC) curves;
52.Research on listed companies' credit ratings, considering classification performance and interpretability

机译：上市公司的信用评级研究，考虑到分类绩效和可意识
- 作者：Li Zhe;Chi Guotai;Zhou Ying;Liu Wenxuan
- 期刊名称：《The Journal of Risk Model Validation》 | 2021年第1期
- credit risk;
- validity index;
- feature system;
- data gravity model;
- classification performance and interpretability;
53.A verification model to capture option risk and hedging based on a modified underlying beta

机译：基于修改的底层测试版捕获期权风险和对冲的验证模型
- 作者：Shen Chuan-He;Liu Yang
- 期刊名称：《The Journal of Risk Model Validation》 | 2021年第1期
- option market;
- volatility mining;
- hedging;
- underlying beta;
- verification model;
54.Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers

机译：超越合同：客户行为从源于默认为默认的丢失集合默认风险驱动程序
- 作者：Starosta Wojciech
- 期刊名称：《The Journal of Risk Model Validation》 | 2021年第1期
- credit risk;
- retail;
- variable selection;
- recovery rate;
- loss given default;

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