Papers & Reviews

  • 01 December 2017
Too good to be true? Fallacies in evaluating risk factor models

Keywords: asset pricing, spurious risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, goodness-of-fit, rank test.

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  • 18 Agosto 2017
Assessing the cyclical implications of IFRS 9: a recursive model

Calibración y modelo con riesgo agregado.

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  • 14 Junio 2017
A practical guide to market risk model validations

What are the most common modeling issues in market risk management, and which validation techniques are the most popular?

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  • 02 Marzo 2017
Incorporating funding costs in top-down stress tests

Modelos basados en Merton para medir el riesgo bancario y sus respectivos costos de financiamiento.

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