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The Analytics of Risk Model Validation电子书

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发表于 2008-7-4 09:16:37 | 显示全部楼层 |阅读模式 来自: 中国山东德州

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The Analytics of Risk Model Validation8 t- H% P! |+ _$ k8 s
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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  U" J! Z0 \" L8 z1 l5 @About the editors vii
. e) o2 n1 F4 g" iAbout the contributors ix) y- a+ T# V9 F2 [: @4 G
Preface xiii8 B5 t  D7 z# f7 u  }% b2 J
1 Determinants of small business default 1
. `. I, @( l7 T0 e/ [) W& g, [Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
  {% ^) j( a4 }( n5 G2 Validation of stress testing models 13
; s4 s2 H/ [( Z( |) CJoseph L. Breeden( I' K3 o  e( a1 z+ D- ^
3 The validity of credit risk model validation methods 27+ V: A, l4 l2 _: ]* t8 @5 G
George Christodoulakis and Stephen Satchell( n% q5 z4 J8 g" @' m) Q
4 A moments-based procedure for evaluating risk forecasting models 455 p0 y9 J: q& z) ]
Kevin Dowd+ k+ h' f9 J1 p. H
5 Measuring concentration risk in credit portfolios 59
7 u% r. |) ~: g' s3 x9 Q$ P) E) }Klaus Duellmann0 a- ], X/ |8 x) [
6 A simple method for regulators to cross-check operational risk loss
2 Y) H) ^* r- C- P! \  ?4 umodels for banks 790 b" V" R) ?8 W6 o- j6 R5 [
Wayne Holland and ManMohan S. Sodhi8 u* C' y/ _  \# G( Q4 {, H% W( h
7 Of the credibility of mapping and benchmarking credit risk estimates for
' N1 c* O5 I2 u& ~7 U/ z, I( hinternal rating systems 91; C) D3 M5 L0 q/ A
Vichett Oung- u5 X) A3 a7 k
8 Analytic models of the ROC curve: Applications to credit rating' s) b+ ?  E  c0 K( a- }  o
model validation 113
; u8 f1 {6 ^' xStephen Satchell and Wei Xia9 i3 k% X  H2 e2 t, k5 N0 u, p
9 The validation of the equity portfolio risk models 135- ]1 `1 \: j- K9 k
Stephen Satchell) U* i' b6 H) G# {8 q5 b
10 Dynamic risk analysis and risk model evaluation 149# p6 d# I4 |1 B* `1 f9 e6 c6 s5 {6 j
Günter Schwarz and Christoph Kessler/ G5 J" K3 W9 B! Y. i
11 Validation of internal rating systems and PD estimates 169
- Y9 c. y' [- xDirk Tasche% N* ~! y8 ?; k" m  v- D
Index 197
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