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The Analytics of Risk Model Validation2 L! P) Y( F$ l
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb 5 `/ a1 ?7 v4 l! k& o" G* C
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About the editors vii" L; J5 h& [" k) O
About the contributors ix/ Q/ N+ o+ K3 a9 o5 E1 v
Preface xiii, {0 `8 A8 b9 Y* N3 k; D, L
1 Determinants of small business default 1
# V! R# K/ S% P# l: d' qSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
b' }' e- G. |2 Validation of stress testing models 13 o: M1 d( N' E3 O. ~5 x
Joseph L. Breeden
1 K" l M6 I) y* L, w3 The validity of credit risk model validation methods 27* J1 s3 I8 v% o" i1 I' n# _2 N& H
George Christodoulakis and Stephen Satchell% y" S6 k" p8 k8 g; x" _* E y
4 A moments-based procedure for evaluating risk forecasting models 45
( p8 h, v7 j- d% f# JKevin Dowd
+ M& w- s* o) n- l; S V* ]6 O5 N5 Measuring concentration risk in credit portfolios 59
# Y5 R) C2 x/ l1 O% aKlaus Duellmann, g3 R) ~( k& Q2 [! ]
6 A simple method for regulators to cross-check operational risk loss
+ H- l' ^* e6 F7 H7 X0 lmodels for banks 79
$ X! K; f) p) `5 V- ~6 d0 JWayne Holland and ManMohan S. Sodhi! i% }1 ?- p5 J; e B# U, R1 E
7 Of the credibility of mapping and benchmarking credit risk estimates for2 G0 H, @$ x# y- Y) l, c
internal rating systems 912 r- c% D' o+ D& [6 E
Vichett Oung
p* Y1 _9 o- s" Q* }8 Analytic models of the ROC curve: Applications to credit rating# e5 W0 ^' K# g3 \3 q; R H$ g
model validation 1137 e* ^* c0 }" s/ b. J0 s( t0 w
Stephen Satchell and Wei Xia9 D/ k4 x( v0 Z# `& X
9 The validation of the equity portfolio risk models 135
3 }2 G/ |6 V0 ?) XStephen Satchell
4 n& j. E) b* _& C" a10 Dynamic risk analysis and risk model evaluation 149
8 ^# a, }, `& J: V9 d& g) \Günter Schwarz and Christoph Kessler
/ g9 q/ W. ]& H8 c/ \! d11 Validation of internal rating systems and PD estimates 169
) S+ r% ]3 s; z/ jDirk Tasche) [/ n8 c) w8 M+ j( ~" q& L/ T0 d
Index 197 |
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