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Welcome to www.journalofriskmodelvalidation.com

Welcome to The Journal of Risk Model Validation website. The Journal is an international refereed journal focusing on the implementation and validation of risk models and the promotion of the greater understanding in the area of new developments in the theory and practice of risk model validation.

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Letter from the Editor-in-Chief
It is often assumed that risk model validation is solely about credit risk; that is, the risk of a loan to default or degrade in some way (by, for example, having its rating changed). That this is not true could hardly be gleaned from this issue of The Journal of Risk Model Validation, which presents four excellent papers on credit risk and zero papers on other risk categories; I shall delay describing them in detail to discuss at least one of the other key risk models that also needs validation and explain why much less research occurs in these areas.
Latest Issue
Volume 4 / Number 2
Area under the curve maximization method in credit scoring
by Kakeru Miura, Satoshi Yamashita and Shinto Eguchi
Probability of default estimation and validation within the context of the credit cycle
by Oliver Blümke
Reconciling credit correlations
by Andrew Chernih, Luc Henrard and Steven Vanduffel
Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation
by Chang Liu, Min Guo and Raja Nassar
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