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Jade Mitchell

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Publication

Featured researches published by Jade Mitchell.

The Journal of Risk Model Validation | 2012

The effect of imperfect data on default prediction validation tests

Jade Mitchell

The Journal of Risk Model Validation | 2012

Modeling issuer default risk in basket default swaps: the impact of default correlation

Jade Mitchell

The Journal of Risk Model Validation | 2012

Empirically testing for the location–scale condition: a review of the economic literature

Jade Mitchell

The Journal of Risk Model Validation | 2012

Quantifying model risk within a CreditRisk+ framework

Jade Mitchell

The Journal of Risk Model Validation | 2012

Further recipes for quantitative reverse stress testing

Jade Mitchell

The Journal of Risk Model Validation | 2012

A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

Jade Mitchell

The Journal of Risk Model Validation | 2012

Probability of default validation: a single-year and a multiyear methodology for the Basel framework

Jade Mitchell

The Journal of Risk Model Validation | 2012

Stress testing a retail loan portfolio: an error correction model approach

Jade Mitchell

The Journal of Risk Model Validation | 2012

A realistic approach for estimating and modeling loss given default

Jade Mitchell

The Journal of Risk Model Validation | 2012

On bounds for model calibration uncertainty

Jade Mitchell

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