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The Analytics of Risk Model Validation
3 m( w+ Q- e9 r1 r- l! PAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb 1 p1 {. Z6 A8 g
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About the editors vii
+ R' k7 D+ z6 l1 E4 X6 KAbout the contributors ix' B) Q4 }7 p, W! J; M' t
Preface xiii5 i3 |1 |9 k) Q; U: ?
1 Determinants of small business default 1
% L: N h8 M6 q: o, T8 eSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu; T; {) \" X6 g; V& z
2 Validation of stress testing models 13
/ i( z0 t0 A3 YJoseph L. Breeden
+ C- ]! z2 k' d" V# d/ \* k3 p3 The validity of credit risk model validation methods 272 U. \. t _$ D- s' s7 L( ]( J" B6 P
George Christodoulakis and Stephen Satchell7 u/ m8 {/ t: Q% C
4 A moments-based procedure for evaluating risk forecasting models 45
+ E9 s9 ?" T# {6 g( A& \Kevin Dowd r9 C9 C' o [! k/ B" S9 K
5 Measuring concentration risk in credit portfolios 59% I+ z4 q0 W, B. f
Klaus Duellmann Y' j; g. [# ~
6 A simple method for regulators to cross-check operational risk loss: ]* z; h6 N; A, m8 y. d* b9 r4 D
models for banks 79
O% T2 i# v: k9 uWayne Holland and ManMohan S. Sodhi
; I2 O/ I- @' G- x4 |0 W8 [3 n7 Of the credibility of mapping and benchmarking credit risk estimates for
+ a+ x& V5 a8 m6 r( ~, {6 ~internal rating systems 911 m6 y' D: D% ?% y
Vichett Oung, J: v8 o6 n6 C% ]! Z& x* ?7 f, a
8 Analytic models of the ROC curve: Applications to credit rating( c5 v5 y& g9 Q, H- J9 _+ S7 X
model validation 113, A/ x7 I" h" ]: p& g7 |
Stephen Satchell and Wei Xia
# x- C+ G) `# [8 O. V1 @9 The validation of the equity portfolio risk models 135 B: p( L: g8 G5 h/ ^7 w
Stephen Satchell0 i, B& V$ T( @
10 Dynamic risk analysis and risk model evaluation 149! f9 \2 O6 n/ }' g
Günter Schwarz and Christoph Kessler! \' e. ^0 M( _3 X4 V
11 Validation of internal rating systems and PD estimates 169/ m& f5 G A9 j+ S u$ }$ _& Q
Dirk Tasche9 `- w' y$ `- l+ @+ P$ [0 H
Index 197 |
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发表于 2008-7-4 09:16:37
