|
|
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/ ^+ @6 I+ G0 c5 J! O
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
8 t9 t! A9 @4 S* g. i
: u) d( C( f0 ~
# A( @! c' ~2 T# E J) W; a
! g& i9 @, D/ D h: Z6 L& l
1 W- {$ R5 A1 `8 N- X* mAbout the editors vii
; m4 y; |2 S! F3 i7 c7 iAbout the contributors ix6 e5 ^( Q4 R1 ?
Preface xiii
; m+ U, w1 X5 a3 `/ r* J+ Z1 Determinants of small business default 16 R. x/ V# C- S" b+ j( Q5 _: u6 ]
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
$ ?0 P! D& z0 \& h' Q1 \2 Validation of stress testing models 13
! I, H: v4 p! WJoseph L. Breeden
0 z( ^' V* K, w3 The validity of credit risk model validation methods 27! n3 A" T, q/ L9 x- _
George Christodoulakis and Stephen Satchell, M9 S5 @( e* B* h
4 A moments-based procedure for evaluating risk forecasting models 45
7 B1 p. a+ B+ Y. w' GKevin Dowd! f! q& P" O3 r( u8 ~- `& b7 Y" V. x
5 Measuring concentration risk in credit portfolios 59
4 U4 O4 q" ?& S+ x! K6 u4 G( | LKlaus Duellmann( E# O) Z, p s" g
6 A simple method for regulators to cross-check operational risk loss0 d% `" o& \: F
models for banks 79
& V6 a5 x9 R2 E: Q( M6 T" |1 hWayne Holland and ManMohan S. Sodhi
{+ `2 r9 N3 \, d% S ]1 z& q7 Of the credibility of mapping and benchmarking credit risk estimates for
# J' }3 R- t% C* \0 ~8 m- S Ginternal rating systems 91& I9 F0 h* ]% a& o
Vichett Oung
; ?- ]% I$ u5 T8 Analytic models of the ROC curve: Applications to credit rating
8 k! R! w6 a* m) ?9 Vmodel validation 113
z) o' l/ B- }9 f5 VStephen Satchell and Wei Xia
* q6 [0 C; s) y. g Y* h; R1 [+ ^9 The validation of the equity portfolio risk models 135$ F& {2 h/ n2 `4 P3 _& C
Stephen Satchell
# X* J5 f* ~& G# m6 d n# d10 Dynamic risk analysis and risk model evaluation 149
M4 K' n, U) `2 c, ^Günter Schwarz and Christoph Kessler, m7 H! {' ^ V; \2 I ?6 }
11 Validation of internal rating systems and PD estimates 169
8 c/ K1 g, g8 p+ t% ?$ D# j" `. ?Dirk Tasche
: b5 v- ]; M! M6 F6 K7 IIndex 197 |
|