Downloadable Papers (sorted by date)

NEW: The Top 20 books referenced/cited in these (below listed) papers.

I've put a gray background on the top five most browsed papers in this category.   (April-1)

Macro Stress Tests and History-Based Stressed PD: The case of Hong Kong
by Michael Wong of the University of Hong Kong & CT Risk Solutions, and
Yat-fai Lam of Hong Kong Monetary Authority
(149K PDF) -- 17 pages -- March 2008

A Practical Approach to Validating a PD Model
by Lydian Medema of the University of Groningen,
Ruud H. Koning of the University of Groningen, and
Robert Lensink of the University of Groningen
(314K PDF) -- 34 pages -- June 6, 2007

Testing Probability Calibrations: Application to credit scoring models
by Andreas Blöchlinger of Credit Suisse, and
Markus Leippold of the Federal Reserve Bank of New York & University of Zurich
(310K PDF) -- 35 pages -- May 6, 2006

Benchmarking Model of Default Probabilities of Listed Companies
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Tak-Chuen Wong of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the The Chinese University of Hong Kong
(2,054K PDF) -- 11 pages -- September 2005

Studies on the Validation of Internal Rating Systems
by the Basel Committee on Banking Supervision
(504K PDF) –- 120 pages -- May 2005

Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
by Roger M. Stein of Moody's|KMV
(184K PDF) -- 11 pages -- February 9, 2005

Stress Testing at Major Financial Institutions: Survey results and practice
by a BIS working group established by the Committee on the Global Financial System
(199K PDF) –- 42 pages -- January 2005

Global Sensitivity Analysis for Latent Factor Credit Risk Models
by Dirk Baur of the Joint Research Center - EU Commission,
Jessica Cariboni of the Joint Research Center - EU Commission, and
Francesca Campolongo of the Joint Research Center - EU Commission
(199K PDF) -- 29 pages -- November 2004

Identifying Threshold Effects in Credit Risk Stress Testing
by J. Giancarlo Gasha of the International Monetary Fund, and
R. Armando Morales of the International Monetary Fund
(297K PDF) -- 18 pages -- August 2004

Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models
by Uwe Wehrspohn of Heidelberg University
(621K PDF) -- 11 pages -- July 15, 2004

Validating Default Probabilities on Short Time Series
by Stefan Blochwitz of Deutsche Bundesbank,
Stefan Hohl of the Bank for International Settlements,
Dirk Tasche of Deutsche Bundesbank, and
Carsten Wehn of Deutsche Bundesbank
(168K PDF) -- 11 pages -- May 7, 2004

An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies
by Daniel Rösch of the University of Regensburg
(197K PDF) -- 43 pages -- April 15, 2004

Stress Testing: A Review of Key Concepts
by Martin Čihák of the Cez National Bank
(333K PDF) -- 34 pages -- April 2004

A Traffic Lights Approach to PD Validation
by Dirk Tasche of Deutsche Bundesbank
(185K PDF) -- 7 pages -- May 2, 2003

Uses and Misuses of Measures for Credit Rating Accuracy
by Alfred Hamerle of the University of Regensburg,
Robert Rauhmeier of the University of Regensburg, and
Daniel Rösch of the University of Regensburg
(346K PDF) -- 28 pages -- April 28, 2003

ARE THE PROBABILITIES RIGHT? A First Approximation to the Lower Bound on the Number of Observations Required to Test for Default Rate Accuracy
by Roger M. Stein of Moody's Investors Service
(567K PDF) -- 17 pages -- May 22, 2003

Metrics for Comparing Credit Migration Matrices
by Yusuf Jafry, and
Til Schuermann of the Federal Reserve Bank of New York
(610K PDF) -- 45 pages -- March 25, 2003

Testing Rating Accuracy
by Bernd Engelmann of Deutsche Bundesbank,
Evelyn Hayden of the University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(125K PDF) -- 5 pages -- January 2003

Measuring the Discriminative Power of Rating Systems
by Bernd Engelmann of Deutsche Bundesbank
Evelyn Hayden University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(334K PDF) -- 32 pages -- November 2002

Evaluating credit risk models: A critique and a proposal
by Hergen Frerichs of the University of Frankfurt, and
Gunter Löffler of the University of Frankfurt
(258K PDF) -- 52 pages -- May 2002

Consultative Paper on Credit Stress-Testing
by the Monetary Authority of Singapore
(136K PDF) -- 53 pages -- January 31, 2002

An International Survey of Stress Tests
by Ingo Fender of the Federal Reserve Bank of New York,
Michael S. Gibson of the Federal Reserve Bank of New York, and
Patricia C. Mosser of the Federal Reserve Bank of New York
(67K PDF) -- 6 pages -- November 2001

The Effects of Estimation Error on Measures of Portfolio Credit Risk
by Gunter Löffler of the University of Frankfurt
(249K PDF) -- 35 pages -- October 15, 2001

Testing Density Forecasts, with Applications to Risk Management
by Jeremy Berkowitz of the University of California, Irvine
(887K PDF) -- 10 pages -- October 2001

Defaultable Security Valuation and Model Risk
by Aydin Akgün of HEC, University of Lausanne
(972K PDF) -- 59 pages -- March 2001

An Alternative Method for Testing Credit Risk Models
by Iain Maclachlan of the University of Melbourne
(134K PDF) -- 16 pages -- October 20, 2000

From Value at Risk to Stress Testing: The Extreme Value Approach
by François M. Longin of the Cergy-Pontoise Cedex
(498K PDF) -- 34 pages -- July 2000

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of New York University, NBER and the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 2000

Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues
by the Committee on the Global Financial System of the Bank for International Settlements
(228K PDF) -- 44 pages -- April, 2000

A Coherent Framework for Stress-Testing
by Jeremy Berkowitz of the Federal Reserve Board
(76K PDF) -- 14 pages -- July 14, 1999

Evaluating Credit Risk Models
by Jose A. Lopez of the Federal Reserve Bank of San Francisco and
Marc R. Saidenberg of the Federal Reserve Bank of New York
(84K PDF) -- 23 pages -- June 30, 1999

Evaluating the Forecasts of Risk Models
by Jeremy Berkowitz of the Federal Reserve Board
(132K PDF) -- 33 pages -- March 16, 1999

Pitfalls in Tests for Changes in Correlations
by Brian H. Boyer of the University of Michigan,
Michael S. Gibson of the Board of Governors of the Federal Reserve System, and
Mico Loretan are of the Board of Governors of the Federal Reserve System
(713K PDF) -- 25 pages -- March 1999

A Nonparametic Test for Credit Rating Refinements
by Ross M. Miller of Miller Risk Advisors
(21K HTML) -- 7 pages -- May 1998

Additional References (sorted by author)

Frerichs, Hergen and Gunter Löffler, "Evaluating Credit Risk Models Using Loss Density Forecasts", Journal of Risk, Vol. 5, No. 4, University of Frankfurt -- Main, (Summer 2003), pp. 1-23. [Abstract]

Hand, David J. and Robert J. Till, "A Simple Generalisation of the Area Under the ROC Curve for Multiple Class Classification Problems," Machine Learning, Vol. 45, No. 2, (November 2001), pp. 171-186. [Abstract]

Hanley, James A. and Barbara J. McNeil, "The Meaning and Use of the Area under a Receiver Operating Characteristics (ROC) Curve," Radiology, Vol. 143, No. 1, (April 1982), pp. 29-36. [Abstract]

Rösch, Daniel and Harald Scheule, "Stress-Testing Credit Risk Parameters: An application to retail loan portfolios", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 55-75. [Abstract]

Stein, Roger M., "Benchmarking Default Prediction Models: Pitfalls and Remedies in Model Validation", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 77-113. [Abstract]

Books

The Analytics of Risk Model Validation by George A. Christodoulakis (Editor), Stephen Satchell (Editor) Academic Press, (November 11, 2007), Hardcover, 216 pages