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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 Validation
3 Q2 E/ n! u3 z: t, {0 fAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb

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About the editors vii' K- p* f" j* x+ Z% M4 }
About the contributors ix
/ z8 d9 m1 V* x- NPreface xiii
6 |) Q" n2 q# L4 M  \5 H( `1 Determinants of small business default 13 t* \, d( U; _6 i& o3 E
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
3 ?8 l4 P! E; n  ?/ u: Y  i7 c& U! W2 Validation of stress testing models 13
) m# w5 I8 m) BJoseph L. Breeden9 ~% e' L  Y; O  _" j% L
3 The validity of credit risk model validation methods 278 R( v, o3 S% O! X/ C$ B
George Christodoulakis and Stephen Satchell
% m& E; B/ z* j* G4 A moments-based procedure for evaluating risk forecasting models 45
. f0 K; p( c* M6 ^Kevin Dowd
% L+ ]( J9 j6 P' W8 _6 N% g5 Measuring concentration risk in credit portfolios 59" E9 P* Q- d# K
Klaus Duellmann  r; X8 z, m4 O/ m$ P
6 A simple method for regulators to cross-check operational risk loss5 Z8 ]# M9 [2 d( Y( W" t0 f4 P
models for banks 79
0 i+ R4 j& S6 e& n" i5 _( [Wayne Holland and ManMohan S. Sodhi
& D+ U" N/ z$ q5 w9 h6 \7 Of the credibility of mapping and benchmarking credit risk estimates for
) ?8 r) [, O8 x4 f* {7 b- Yinternal rating systems 91  W7 a! |$ J! E, v: j. Q, m- }; G
Vichett Oung
+ ~+ j( w  o* Y3 a8 Analytic models of the ROC curve: Applications to credit rating
# Y* \9 y# H+ i+ p, L0 Y) Zmodel validation 113
% R' E/ S+ }: v- V0 A/ o: p+ W5 j! hStephen Satchell and Wei Xia
, v7 v# ?2 }$ d0 B- l9 The validation of the equity portfolio risk models 1357 R2 G" W' O) `6 D' y/ `% ~
Stephen Satchell
1 v. C; M& s5 b3 t( k10 Dynamic risk analysis and risk model evaluation 149
! c( b2 R, H! j% r# KGünter Schwarz and Christoph Kessler
. ]( ?2 U5 C1 o11 Validation of internal rating systems and PD estimates 169
6 V( a) g8 {& Y. Z8 YDirk Tasche+ ?! i; r' q8 x+ P! T2 {9 o8 `
Index 197
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