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The Analytics of Risk Model Validation
6 b6 _# m( Q( g9 _Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb + @4 ?! |; Q: g% S7 m9 \
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" ~, g O, u% s4 k: @About the editors vii# P8 x! K1 k' ]! D
About the contributors ix& x8 F, r8 S3 d2 g" c9 v
Preface xiii2 M* Y, s# d7 f/ u7 i4 O+ y* U/ @0 r
1 Determinants of small business default 1
3 O; K* m z+ sSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu5 G5 @0 |6 z! D4 Y( L8 q) n( l
2 Validation of stress testing models 139 `( s/ d( f2 x0 X" N4 J+ e
Joseph L. Breeden
1 I# s: ~: `5 v1 A3 The validity of credit risk model validation methods 27
, _8 G/ Q; V! x: X9 N* O4 uGeorge Christodoulakis and Stephen Satchell N3 S" H3 x- I+ q. `
4 A moments-based procedure for evaluating risk forecasting models 45; ]& N p1 t1 U5 v- A
Kevin Dowd: I- S p8 f9 v7 ?% B5 \
5 Measuring concentration risk in credit portfolios 59
- J' i t: Q. Q4 }" V' N! ?) [Klaus Duellmann
$ j4 x1 `) O/ I4 I7 r4 z: l' X) t6 A simple method for regulators to cross-check operational risk loss
/ z3 J! P, K* j+ x+ U# [models for banks 79 }. f9 L7 N8 [; f
Wayne Holland and ManMohan S. Sodhi
( o+ g% _* h; w" p/ m" d. i/ T' ~7 Of the credibility of mapping and benchmarking credit risk estimates for
* `( u: j% ?% P$ {3 Ainternal rating systems 918 S+ S! r+ A9 Q- `# B
Vichett Oung
* [+ R' D% ~( R* f R* ]% m$ d% M8 Analytic models of the ROC curve: Applications to credit rating$ T) T7 `, o1 I* I' x5 J; e. K
model validation 113
+ P+ ?% H+ A# T/ L0 P y$ QStephen Satchell and Wei Xia
" T- ?! h' f1 N) O9 The validation of the equity portfolio risk models 135, z! }& Z! N3 D! u4 z4 w& o
Stephen Satchell3 X. i8 E3 q7 {5 N6 Z* f* F( i- n. M6 M
10 Dynamic risk analysis and risk model evaluation 149
* f# ^. X6 {0 M% EGünter Schwarz and Christoph Kessler
0 W, |7 U# Z4 @) z( a6 B5 |11 Validation of internal rating systems and PD estimates 169
% J* O* O( d: m4 |* ?! c# T ]Dirk Tasche
# z4 w6 R6 T/ Z! b1 {Index 197 |
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