Downloadable Papers (sorted by date) See 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. (Apr-1) Most Cited Books within Testing/Validation Papers
Validating Default Models when the Validation Data are Corrupted: Analytic results and bias corrections
by Roger M. Stein of Massachusetts Institute of Technology & State Street Corporation
(139K PDF) -- 61 pages -- July 13, 2013 Next Generation System-Wide Liquidity Stress Testing
by Christian Schmieder of the International Monetary Fund,
Heiko Hesse of the International Monetary Fund,
Benjamin Neudorfer of Oesterreichische Nationalbank,
Claus Puhr of Oesterreichische Nationalbank, and
Stefan W. Schmitz of Oesterreichische Nationalbank
(139K PDF) -- 61 pages -- January 2012 The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 The Riskiness of Risk Models
by Christophe M. Boucher of the ABN AMRO & Université Panthéon-Sorbonne - Paris I, and
Bertrand B. Maillet of the ABN AMRO & University of Paris-1
(423K PDF) -- 14 pages -- March 2011 The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
by Walter Orth of the University of Cologne
(272K PDF) -- 20 pages -- February 16, 2011 Stress Testing: The impact of shocks on the capital needs of the Luxembourg banking sector
by Abdelaziz Rouabah of the Banque centrale du Luxembourg, and
John Theal of the Banque centrale du Luxembourg
(314K PDF) -- 28 pages -- August 23, 2010 Validation of Credit Default Probabilities via Multiple Testing Procedures
by Sebastian Döhler of the University of Applied Sciences Darmstadt
(757K PDF) -- 35 pages -- June 25, 2010 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(962K PDF) -- 58 pages -- March 5, 2010 Crash Testing German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Martin Erdelmeier of Deutsche Bundesbank
(659K PDF) -- 37 pages -- September 2009 How to Find Plausible, Severe and Useful Stress Scenarios
by Thomas Breuer of the Fachhochschule Vorarlberg,
Martin Jandačka of the Fachhochschule Vorarlberg,
Klaus Rheinberger of the Fachhochschule Vorarlberg, and
Martin Summer of the Oesterreichische Nathionalbank
(496K PDF) -- 20 pages -- September 2009 Macro Stress-Testing on the Loan Portfolio of Japanese Banks
by Akira Otani of the Bank of Japan,
Shigenori Shiratsuka of the Bank of Japan,
Ryoko Tsurui of the Bank of Japan, and
Takeshi Yamada of the Bank of Japan
(206K PDF) -- 34 pages -- March 2009 Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 2008 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 C.S. 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, and
Georg von Pföstl of the Oesterreichische Nationalbank
(230K PF) -- 9 pages -- December 2007 Validation of Internal Rating Systems and PD Estimates
by Dirk Tasche of Deutsche Bundesbank
(302K PDF) -- 27 pages -- June 7, 2006 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
(379K PDF) -- 36 pages -- May 6, 2006 Stress Testing of Banking Systems
by Martin Čihák of the International Monetary Fund
(329K PDF) -- 23 pages -- September 2005 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 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 Remarks on the Monotonicity of Default Probabilities
by Dirk Tasche of Deutsche Bundesbank
(132K PDF) -- 8 pages -- July 23, 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 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 Testing for Rating Consistency in Annual Default Rates
by Richard Cantor of Moody's Investors Service, and
Eric Falkenstein of Moody's|KMV
(333K PDF) -- 27 pages -- September 2001 Defaultable Security Valuation and Model Risk
by Aydin Akgün of HEC, University of Lausanne
(972K PDF) -- 59 pages -- March 2001 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 | 
