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The Analytics of Risk Model Validation, U. ?1 V! @: m) s6 D
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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About the editors vii1 P/ [* r& q B- T" Q6 m; W
About the contributors ix _: B5 I2 n; j* o
Preface xiii9 q" O+ F( d! q- d3 a5 ]+ F$ E
1 Determinants of small business default 1& _- f0 o6 z1 q7 v! l
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu6 y0 z; c( @9 [0 p! k) Y; {
2 Validation of stress testing models 13
9 P1 J' v& ^0 F( Y/ D* U/ uJoseph L. Breeden
( \5 q' g! }* e9 _. C3 The validity of credit risk model validation methods 276 O( E2 @3 x4 J8 ] M$ I
George Christodoulakis and Stephen Satchell: B* e% ?5 y. f, D1 w7 Q
4 A moments-based procedure for evaluating risk forecasting models 45% v- g, X& t9 v( B5 m" l1 J2 O' }
Kevin Dowd
. x/ b/ [: u% d7 k5 Measuring concentration risk in credit portfolios 596 a! @- y. J" I5 f% T+ K
Klaus Duellmann
# u. U) s9 j+ i8 L$ v3 \6 A simple method for regulators to cross-check operational risk loss. C# k x9 @7 Q. j
models for banks 79
8 J# n# y; P% H% |+ \. hWayne Holland and ManMohan S. Sodhi2 p$ h% |; } Y4 d. f4 k$ E
7 Of the credibility of mapping and benchmarking credit risk estimates for% V# E# ~9 h# H! P$ X6 k( I
internal rating systems 91
6 W8 @, c( X4 q7 s4 V; V3 A* n& Q: t* JVichett Oung/ s3 o) i: \5 {' h
8 Analytic models of the ROC curve: Applications to credit rating
- }& _; B1 m* F& H7 hmodel validation 113/ H1 \2 `1 I$ ~7 ?* N
Stephen Satchell and Wei Xia
" {) U. ?: B0 R& k4 w/ a3 G8 i" R9 The validation of the equity portfolio risk models 135
" t! j5 i K" _! o" @7 ZStephen Satchell
. a5 q" l8 A1 ~# X10 Dynamic risk analysis and risk model evaluation 149
$ T- t' s. s4 O9 @! M% xGünter Schwarz and Christoph Kessler4 C x" p# o+ Z' Q
11 Validation of internal rating systems and PD estimates 169
_. m$ c1 F1 c2 J* |Dirk Tasche) m% ]3 G1 E+ J5 \, ?
Index 197 |
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发表于 2008-7-4 09:16:37
