|
|
马上注册，结识高手，享用更多资源，轻松玩转三维网社区。
您需要 登录 才可以下载或查看，没有帐号？注册
x
The Analytics of Risk Model Validation
: y0 }0 }# `/ n! r$ G9 F% V5 B& S0 pAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
7 C- V: |* @: n$ M/ I: B" e+ H5 ~2 N. j- O, Q, j+ Y) Y
+ `2 X& L2 f. Q: F# v
; \+ }+ [4 z& z6 h3 U' b
# h4 F# E1 v3 {About the editors vii; j4 \& ^2 E S! s# o
About the contributors ix
; g5 f( m8 g4 a8 cPreface xiii
4 ~8 X }9 V/ c4 c1 Determinants of small business default 1
+ n. [% j; T5 YSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu5 e* J- s/ z9 _3 M$ [8 a) k! W; s! r
2 Validation of stress testing models 13+ N* y! s. `: k: Z. ?# }
Joseph L. Breeden" H6 {5 k$ o. R/ ~1 O
3 The validity of credit risk model validation methods 27+ ^0 D, P: x7 f4 h1 n4 d; t
George Christodoulakis and Stephen Satchell. x5 h# K1 u o) S* A! \
4 A moments-based procedure for evaluating risk forecasting models 45# D- F6 _6 z2 Q
Kevin Dowd z1 ^1 Z" }0 J Z
5 Measuring concentration risk in credit portfolios 594 g% Q# a4 T8 {! d( s) `
Klaus Duellmann, i4 O7 {4 a L% y( Q
6 A simple method for regulators to cross-check operational risk loss
) ~3 O3 V4 ?/ Fmodels for banks 79% \6 F. u" r; p' a
Wayne Holland and ManMohan S. Sodhi
6 x: ~/ V H$ E2 T7 Of the credibility of mapping and benchmarking credit risk estimates for+ A, }6 h+ H2 h$ Y
internal rating systems 915 O0 s. ?4 F1 s# e- x; ]) ` X; C
Vichett Oung/ j" V, k! L* h7 t! e' J+ v
8 Analytic models of the ROC curve: Applications to credit rating
& B# ~: K* M1 R" }& P6 amodel validation 1130 u% O$ k* y/ P0 p0 `; z
Stephen Satchell and Wei Xia
* }' A0 i: u# N- N( K9 The validation of the equity portfolio risk models 135
6 A: ?6 e( K w7 uStephen Satchell
2 e% o, m! x+ t) S# B1 K, Q10 Dynamic risk analysis and risk model evaluation 1497 Z" {* C9 q d: c0 I, l5 V
Günter Schwarz and Christoph Kessler6 g Z( r& A4 z3 g) }8 |9 q
11 Validation of internal rating systems and PD estimates 169' G& b0 n4 j" t0 h+ A
Dirk Tasche
9 n3 @. k v! n( g9 EIndex 197 |
|
发表于 2008-7-4 09:16:37
