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Letter from the Editor-in-cheif
The current issue contains four papers. The first of these is by Patrick Henaff and Claude Martini and is titled “Model validation: theory, practice and perspectives”. It addresses the July 2009 directive from the Basel Committee requiring institutions to quantify model risk.
Latest Issue
Volume 5 / Number 4
Model validation: theory, practice and perspectives.
by Patrick Hénaff and Claude Martini
On the time scaling of value-at-risk with trading.
by Jimmy Skoglund, Donald Erdman and Wei Chen
The fallacy of an overly simplified asymptotic single-risk-factor model
by Kete Long
The effect of variant sample sizes and default rates on validation metrics for probability of default models.
by David Li, Ruchi Bhariok and Radu Neagu
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