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. (November-1) 
Macro Stress and Worst Case Analysis of Loan Portfolios
by Thomas Breuer of Fachhochschule Vorarlberg,
Martin Jandačka of Fachhochschule Vorarlberg,
Klaus Rheinberger of Fachhochschule Vorarlberg, and
Martin Summer of Oesterreichische Nationalbank
(423K PDF) -- 31 pages -- March 29, 2008 Macro Stress Tests and History-Based Stressed PD: The case of Hong Kong
by Michael Wong of the City University of Hong Kong & CT Risk Solutions, and
Yat-fai Lam of Hong Kong Monetary Authority
(149K PDF) -- 17 pages -- March 2008 Discriminatory Power: An obsolete validation criterion?
by Manuel Lingo of the Vienna University of Economics and Business Administration, and
Gerhard Winkler of Oesterreichische Nationalbank
(675K PDF) -- 43 pages -- February 2008 Goodness-of-Fit Test for Event Forecasting
by Andreas Blöchlinger of Zürcher Kantonalbank, and
Markus Leippold of Imperial College London
(390K PDF) -- 46 pages -- January 9, 2008 Quantitative Validation of Rating Models for Low Default Portfolios through Benchmarking
by Markus Ricke of the Oesterreichische Nationalbank,
Georg von Pföstl of the Oesterreichische Nationalbank
(230K PF) -- 9 pages -- December 2007 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 Confidence Intervals for the Area under the ROC Curve
by Corinna Cortes of Google Research, and
Mehryar Mohri of Courant Institute, NYU
(125K PDF) -- 10 pages -- December 2004 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 Myth and Reality of Discriminatory Power for Rating Systems
by Stefan Blochwitz of Deutsche Bundesbank,
Alfred Hamerle of the University of Regensburg,
Stefan Hohl of the Bank for International Settlements,
Robert Rauhmeier of KfW-Bankengruppe, and
Daniel Rösch of the University of Regensburg
(125K PDF) -- 12 pages -- July 27, 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, & 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 Federal Reserve Board, and
Mico Loretan are of the Federal Reserve Board
(713K PDF) -- 25 pages -- March 1999 A Nonparametric Test for Credit Rating Refinements
by Ross M. Miller of Miller Risk Advisors
(113K PDF) -- 7 pages -- May 1998 | 
