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The Analytics of Risk Model Validation! N6 c( m: ?# y+ V2 |
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb % H3 J( u) I3 M8 z L( Y
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7 _* _' M, f/ ]) Q/ |About the editors vii! o( d! q, N9 }1 b
About the contributors ix" d3 j |% w: a0 _4 P0 [# `
Preface xiii8 q$ P4 k3 G0 s
1 Determinants of small business default 1! ~8 b# U3 s( c, y' i
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu1 {% z. v( |) c Q2 f: d
2 Validation of stress testing models 136 I4 }5 p8 K# ]9 J5 k/ n& f
Joseph L. Breeden: f/ \5 S, ^* x n2 G" z6 d3 I
3 The validity of credit risk model validation methods 27& m! t/ b: m4 S7 O5 x E1 w
George Christodoulakis and Stephen Satchell# |, F* _- p" [- \, U7 D0 U
4 A moments-based procedure for evaluating risk forecasting models 45- Y5 ]/ d7 s! o
Kevin Dowd
* n3 J- `8 B9 u o* A" S2 o5 Measuring concentration risk in credit portfolios 59
+ T, {% Q, V6 WKlaus Duellmann, V. \1 e; u/ h- I/ v
6 A simple method for regulators to cross-check operational risk loss
* ^8 V* R: E- `5 ]' x7 ~: a; jmodels for banks 79: v; {7 D8 G6 F3 i& C/ W9 p
Wayne Holland and ManMohan S. Sodhi
' K% \9 {* D! X7 Of the credibility of mapping and benchmarking credit risk estimates for: F0 V2 q, [* ]% _& F( S
internal rating systems 91
* h9 ?) T! Z( fVichett Oung
" ]1 ^2 n' o7 c5 y: r8 Analytic models of the ROC curve: Applications to credit rating% X a; }. d% f' u( }7 b' G# p
model validation 113% ?: V1 S9 s' F' E9 t: C. e- W
Stephen Satchell and Wei Xia1 y; U2 X. O+ ]+ m* ]# M% U
9 The validation of the equity portfolio risk models 135" F+ T* V g7 E
Stephen Satchell5 N- \% g) b) `0 a
10 Dynamic risk analysis and risk model evaluation 149
1 {1 J+ i* h$ v1 zGünter Schwarz and Christoph Kessler. E2 p& f, @. C& w2 B
11 Validation of internal rating systems and PD estimates 169- a* J8 M; n$ n5 L
Dirk Tasche
+ J6 F# H2 T |: BIndex 197 |
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