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The Analytics of Risk Model Validation6 `( i o8 W& N6 W/ m% o
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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About the editors vii
# Z! F( n. {7 h5 K7 o0 HAbout the contributors ix
3 L2 r7 @, }# Z- I7 ?, }. d- ?7 UPreface xiii7 Z( V' j! y# k! N! n" b; `
1 Determinants of small business default 1
1 s3 A/ b; @: k+ K5 q0 R( F) x8 |0 D3 xSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
9 I2 v. R" t: h6 }# q- V8 R6 G2 Validation of stress testing models 13% R+ o. j2 u# W& Q$ N6 w/ b9 B1 N
Joseph L. Breeden
! w R' o7 p0 m2 e3 The validity of credit risk model validation methods 27
3 }" }6 S& I: f' o( T Z" zGeorge Christodoulakis and Stephen Satchell, f' f! H4 y6 {2 i M* z) u
4 A moments-based procedure for evaluating risk forecasting models 45
2 f5 I' W* S7 h6 G$ b) ~' g3 UKevin Dowd
3 }) | q6 C7 {3 N7 k5 Measuring concentration risk in credit portfolios 59
1 r3 ~9 T6 ]" I7 C% JKlaus Duellmann
6 g6 a# T! F" m# E1 T6 A simple method for regulators to cross-check operational risk loss
; ~2 c; _& K) D. Bmodels for banks 79
$ E1 B0 R/ Q( HWayne Holland and ManMohan S. Sodhi! G2 U5 d8 M: _ z
7 Of the credibility of mapping and benchmarking credit risk estimates for8 {4 ]# J _; {" i# w% i; V
internal rating systems 91' a' _9 k5 o; o6 `
Vichett Oung7 c) q. z6 s" K/ t% o
8 Analytic models of the ROC curve: Applications to credit rating9 I1 f9 }# W6 K. O
model validation 113
% H; s9 ~: T# DStephen Satchell and Wei Xia ^' u, g) O7 a
9 The validation of the equity portfolio risk models 135
e) x" j$ v& C \8 i9 D+ \. DStephen Satchell
" I5 \" H/ r8 V4 G4 i7 ~10 Dynamic risk analysis and risk model evaluation 149# X: v9 _6 r' _' \
Günter Schwarz and Christoph Kessler
/ G* W2 W: v8 U, L+ t% x11 Validation of internal rating systems and PD estimates 169) J9 { r- |# p, |2 p
Dirk Tasche
: a. \$ J2 r- b& ?( o3 n6 E! I1 a+ Q; mIndex 197 |
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发表于 2008-7-4 09:16:37
