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The Analytics of Risk Model Validation' J6 [ F3 c3 m. x7 x0 U
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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4 j$ W! r( i# Y# o+ i) N" m# \* BAbout the editors vii
6 e! Y3 z5 [7 y8 i OAbout the contributors ix3 w! n, b. y# g+ ?! t5 U" C
Preface xiii) E' P7 j% ~- a' _
1 Determinants of small business default 1
+ k1 j- Q) O* H- Y7 E# Z7 J6 VSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
+ @$ x( O5 f' a( @2 Validation of stress testing models 13
7 `! c% N, n( a- F7 @: ~Joseph L. Breeden* S& v/ ^- n" U5 F4 d2 r/ d6 t
3 The validity of credit risk model validation methods 27
( n- d S- P0 v9 l8 B) wGeorge Christodoulakis and Stephen Satchell% X- l$ O" R" ?; M( c( B0 n o
4 A moments-based procedure for evaluating risk forecasting models 451 l! ~* I% |# K
Kevin Dowd/ Z/ N- S( X6 D* y+ y
5 Measuring concentration risk in credit portfolios 59
5 n8 u2 I/ U2 }" g6 @7 }Klaus Duellmann" g5 }* q; U' _* M. c
6 A simple method for regulators to cross-check operational risk loss5 f" D- j2 i3 W/ p6 n' e2 h
models for banks 79
4 K8 Q- H7 w2 \; A2 {# \& YWayne Holland and ManMohan S. Sodhi
2 I2 _: c/ }* W t7 Of the credibility of mapping and benchmarking credit risk estimates for
+ H. v" m5 H+ e) d" H/ a: {2 Xinternal rating systems 918 `7 h, Y% v6 i- R
Vichett Oung: D. L4 v8 D! w2 V( Y0 Y/ R% u
8 Analytic models of the ROC curve: Applications to credit rating
5 {8 f- H0 \+ O8 M T9 }9 ?6 H# gmodel validation 1138 T9 }) s/ [( f& K7 }
Stephen Satchell and Wei Xia3 z# o& d- l0 A- I
9 The validation of the equity portfolio risk models 1358 ?3 P2 U4 k, U! z" q
Stephen Satchell% r9 x7 z, D+ f, y2 K4 T
10 Dynamic risk analysis and risk model evaluation 1490 ^2 T: a% R; G9 i2 M q
Günter Schwarz and Christoph Kessler& x& V6 v5 N! J' L6 n
11 Validation of internal rating systems and PD estimates 169- U4 Z L: T E9 F9 k6 n% [
Dirk Tasche' T1 d) k9 f8 p- M& B0 C! y
Index 197 |
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