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Validation of stress testing models

Published:2008 Issue: Volume: Page:13-25
ISSN:
Container-title:The Analytics of Risk Model Validation
language:
Short-container-title:

Author:

Breeden Joseph L.

Publisher

Elsevier

Reference21 articles.

1. Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework;Basel Committee on Banking Supervision,2005

2. An Introduction to Credit Risk Modeling;Bluhm,2002

3. A macroeconomic credit risk model for stress testing the Austrian credit portfolio;Boss;Financial Stability Report.,2002

4. Portfolio forecasting tools: what you need to know;Breeden;RMA Journal,2003

5. Universal laws of retail economic capital;Breeden;RMA Journal,2006

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Solutions to specification errors in stress testing models;Journal of the Operational Research Society;2016-06

2. Bibliography;Understanding and Managing Model Risk;2012-05-23

3. A through-the-cycle model for retail lending economic capital;International Journal of Forecasting;2012-01

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