{"id":"https://openalex.org/W1856321680","doi":"https://doi.org/10.3233/rda-150115","title":"Model risk on credit risk","display_name":"Model risk on credit risk","publication_year":2016,"publication_date":"2016-01-14","ids":{"openalex":"https://openalex.org/W1856321680","doi":"https://doi.org/10.3233/rda-150115","mag":"1856321680"},"language":"en","primary_location":{"id":"doi:10.3233/rda-150115","is_oa":true,"landing_page_url":"https://doi.org/10.3233/rda-150115","pdf_url":"https://content.iospress.com:443/download/risk-and-decision-analysis/rda115?id=risk-and-decision-analysis%2Frda115","source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://content.iospress.com:443/download/risk-and-decision-analysis/rda115?id=risk-and-decision-analysis%2Frda115","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5034699090","display_name":"Jordi Molins","orcid":null},"institutions":[{"id":"https://openalex.org/I71999127","display_name":"Universitat de Barcelona","ror":"https://ror.org/021018s57","country_code":"ES","type":"education","lineage":["https://openalex.org/I71999127"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"J. Molins","raw_affiliation_strings":["Dept. d\u2019Estructura i Constituents de la Mat\u00e8ria, Universitat de Barcelona, Diagonal 647, Facultat de F\u00edsica, 08028 Barcelona, Catalonia, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dept. d\u2019Estructura i Constituents de la Mat\u00e8ria, Universitat de Barcelona, Diagonal 647, Facultat de F\u00edsica, 08028 Barcelona, Catalonia, Spain","institution_ids":["https://openalex.org/I71999127"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5085456869","display_name":"Eduard Vives","orcid":"https://orcid.org/0000-0002-5916-7214"},"institutions":[{"id":"https://openalex.org/I71999127","display_name":"Universitat de Barcelona","ror":"https://ror.org/021018s57","country_code":"ES","type":"education","lineage":["https://openalex.org/I71999127"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"E. Vives","raw_affiliation_strings":["Dept. d\u2019Estructura i Constituents de la Mat\u00e8ria, Universitat de Barcelona, Diagonal 647, Facultat de F\u00edsica, 08028 Barcelona, Catalonia, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dept. d\u2019Estructura i Constituents de la Mat\u00e8ria, Universitat de Barcelona, Diagonal 647, Facultat de F\u00edsica, 08028 Barcelona, Catalonia, Spain","institution_ids":["https://openalex.org/I71999127"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5085456869"],"corresponding_institution_ids":["https://openalex.org/I71999127"],"apc_list":null,"apc_paid":null,"fwci":1.6685,"has_fulltext":true,"cited_by_count":7,"citation_normalized_percentile":{"value":0.8462946,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"6","issue":"1","first_page":"65","last_page":"78"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9896000027656555,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9857000112533569,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.4868721067905426},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.383468359708786},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.23923391103744507}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4868721067905426},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.383468359708786},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.23923391103744507}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3233/rda-150115","is_oa":true,"landing_page_url":"https://doi.org/10.3233/rda-150115","pdf_url":"https://content.iospress.com:443/download/risk-and-decision-analysis/rda115?id=risk-and-decision-analysis%2Frda115","source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.3233/rda-150115","is_oa":true,"landing_page_url":"https://doi.org/10.3233/rda-150115","pdf_url":"https://content.iospress.com:443/download/risk-and-decision-analysis/rda115?id=risk-and-decision-analysis%2Frda115","source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.44999998807907104}],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1856321680.pdf","grobid_xml":"https://content.openalex.org/works/W1856321680.grobid-xml"},"referenced_works_count":33,"referenced_works":["https://openalex.org/W147026779","https://openalex.org/W187371506","https://openalex.org/W568181715","https://openalex.org/W1480526195","https://openalex.org/W1509562192","https://openalex.org/W1516922439","https://openalex.org/W1815057747","https://openalex.org/W1918414415","https://openalex.org/W1971089889","https://openalex.org/W1990399036","https://openalex.org/W2105973145","https://openalex.org/W2106807885","https://openalex.org/W2113569851","https://openalex.org/W2113832560","https://openalex.org/W2115637361","https://openalex.org/W2129026643","https://openalex.org/W2165053060","https://openalex.org/W2166077680","https://openalex.org/W2225444676","https://openalex.org/W2282382832","https://openalex.org/W2304786681","https://openalex.org/W2503212997","https://openalex.org/W3100322650","https://openalex.org/W3106168116","https://openalex.org/W3122318214","https://openalex.org/W3122906726","https://openalex.org/W3123921245","https://openalex.org/W3124020533","https://openalex.org/W3125046326","https://openalex.org/W3125324785","https://openalex.org/W3125465093","https://openalex.org/W4247660097","https://openalex.org/W6630321736"],"related_works":["https://openalex.org/W2899084033","https://openalex.org/W1502198272","https://openalex.org/W2017540542","https://openalex.org/W1998718379","https://openalex.org/W2073254488","https://openalex.org/W2066504725","https://openalex.org/W1986173648","https://openalex.org/W2006758266","https://openalex.org/W2061514737","https://openalex.org/W2095052165"],"abstract_inverted_index":{"This":[0],"paper":[1],"develops":[2],"the":[3,25,52,56,75,96,105,109,118,122,139,175],"Jungle":[4,12,53,76,106,140,176],"model":[5,13,17,54,86,141,167],"in":[6,115,152,169,179],"a":[7,71,146,170],"credit":[8,18,39,61,97,153,161,171],"portfolio":[9,162],"framework.":[10],"The":[11,68,84,99],"is":[14,78,142],"able":[15,143],"to":[16,37,128,144,156,181],"contagion,":[19],"produce":[20],"doubly-peaked":[21,92,186],"probability":[22,58,93],"distributions":[23,187],"for":[24,60,95],"total":[26],"default":[27],"loss":[28],"and":[29,44,81,121,188],"endogenously":[30],"generate":[31],"quasi":[32,112,133,189],"phase":[33,113,134,190],"transitions,":[34],"potentially":[35],"leading":[36],"systemic":[38,182],"events":[40],"which":[41],"happen":[42],"unexpectedly":[43],"without":[45],"an":[46,88],"underlying":[47],"single":[48],"cause.":[49],"We":[50,136,164],"show":[51],"provides":[55,87],"optimal":[57],"distribution":[59,94],"losses,":[62],"under":[63,174],"some":[64,159],"reasonable":[65],"empirical":[66,149],"constraints.":[67],"Dandelion":[69,85],"model,":[70,77,101,107,177],"particular":[72],"case":[73],"of":[74,91,104,132,148],"presented,":[79],"motivated":[80],"exactly":[82],"solved.":[83],"explicit":[89],"example":[90],"losses.":[98],"Diamond":[100],"another":[102],"instance":[103],"experiences":[108],"so":[110],"called":[111],"transitions;":[114],"particular,":[116],"both":[117],"U.S.":[119],"subprime":[120],"European":[123],"sovereign":[124],"crises":[125],"are":[126],"shown":[127],"be":[129],"potential":[130],"examples":[131],"transitions.":[135,191],"suggest":[137],"how":[138],"explain":[145],"series":[147],"stylized":[150],"facts":[151],"portfolios,":[154],"hard":[155],"reconcile":[157],"by":[158,185],"standard":[160],"models.":[163],"look":[165],"at":[166],"risk":[168,172],"framework":[173],"especially":[178],"relation":[180],"risks":[183],"posed":[184]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2016,"cited_by_count":2}],"updated_date":"2026-07-30T17:31:21.811387","created_date":"2025-10-10T00:00:00"}
