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The Analytics of Risk Model Validation电子书

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发表于 2008-7-4 09:16:37 | 显示全部楼层 |阅读模式 来自: 中国山东德州

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The Analytics of Risk Model Validation. V* {4 c9 H0 ?( d( W9 B2 c9 G
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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About the editors vii( c4 B& F8 M' x5 U$ }! x
About the contributors ix
2 z8 V( P& z0 u7 ^! oPreface xiii0 d/ ]) B' T7 Q' _2 r4 K
1 Determinants of small business default 1" y$ w6 i" ^$ y4 \
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
* T2 s! D: J5 [: O! e% a2 Validation of stress testing models 13
$ S5 Q* D6 ]* A$ o7 u8 I1 {Joseph L. Breeden
3 Z* v+ K+ T! Y# o! X" b3 v/ ~3 The validity of credit risk model validation methods 27/ E2 u) V+ M3 H. T: m% I% F
George Christodoulakis and Stephen Satchell
, z1 [8 Q4 N" ?2 q: @7 n1 c! g8 c4 A moments-based procedure for evaluating risk forecasting models 45+ o4 V+ G8 S. h; }7 i. M
Kevin Dowd
2 X! `' O4 c: r6 |- q* B5 Measuring concentration risk in credit portfolios 59) S) X! q0 f4 m- `
Klaus Duellmann
$ x2 f- |) E$ p6 A simple method for regulators to cross-check operational risk loss1 t3 M" m6 [) I2 N. h: L
models for banks 79, r  z% Z" k* q8 V
Wayne Holland and ManMohan S. Sodhi: N) I$ V% e$ W3 Y, e
7 Of the credibility of mapping and benchmarking credit risk estimates for
8 C. K4 d! M& i( z; M2 q; C' Binternal rating systems 91! [/ W: T( ]' O3 C( y; ~# H
Vichett Oung7 B/ Y1 o8 e5 B" }
8 Analytic models of the ROC curve: Applications to credit rating
7 W1 G8 x/ t+ U) t6 u7 \6 y) Pmodel validation 1134 F: v/ r( x; Y# l% k( y
Stephen Satchell and Wei Xia1 r. y6 `4 M' Q) y
9 The validation of the equity portfolio risk models 135
6 ^. {  b1 x- l  }* V: bStephen Satchell
5 Z3 `+ `, X% c8 Z" I3 u$ {* w10 Dynamic risk analysis and risk model evaluation 1493 S$ M; G/ C* r! ?  A  \3 U
Günter Schwarz and Christoph Kessler) U) J8 Q7 {" s9 c: o
11 Validation of internal rating systems and PD estimates 169
' m5 @3 i3 [; `3 i, J( E# |Dirk Tasche+ i! i6 V' {" d( P6 b: W" E. d
Index 197
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