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The Analytics of Risk Model Validation
, Q9 H6 d3 B6 U+ `1 | sAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb 2 K7 g* _0 V# g- |
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About the editors vii$ T" s9 k2 P3 I
About the contributors ix
9 F3 c4 }4 e3 I! V- I, FPreface xiii
2 D# M+ X, z: B5 l: j1 Determinants of small business default 1: l4 o9 o9 }. ~% _' j/ }6 v# v
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu/ Q* W$ `' `( [8 o1 a
2 Validation of stress testing models 13
2 p6 W; a; i! z7 uJoseph L. Breeden
" [. G* y/ ]: Y3 Y8 ]+ h3 The validity of credit risk model validation methods 27
# [! z ~! k, p2 U/ k3 oGeorge Christodoulakis and Stephen Satchell
5 q+ C, M; I7 G( c4 A moments-based procedure for evaluating risk forecasting models 45' C, t3 w% {9 b7 r' N6 g r# _
Kevin Dowd
1 p& l/ k3 |& V+ ?# t! E3 t; g5 Measuring concentration risk in credit portfolios 59
7 \8 S3 a; a' B C: E) \8 zKlaus Duellmann# ^. h. w" w- |/ _( K
6 A simple method for regulators to cross-check operational risk loss
- f. \# c+ E( O& [8 S4 emodels for banks 79, i4 m3 n6 G! x" ^4 _3 K
Wayne Holland and ManMohan S. Sodhi3 O7 Q8 w1 R" j2 {4 I# h# k
7 Of the credibility of mapping and benchmarking credit risk estimates for. F9 j& c9 T9 H, d! T+ V
internal rating systems 91
( p- M# v" |3 I% t! UVichett Oung
" P9 l* j( K# K) B, \9 J; M8 Analytic models of the ROC curve: Applications to credit rating
+ |4 [/ ]- x) I z& e* Rmodel validation 113
! |: Y/ d1 }9 o$ p$ p" ]: v. @Stephen Satchell and Wei Xia. B& g/ V( A7 ~3 c% X3 m; L
9 The validation of the equity portfolio risk models 135* X" l: B. n; I) _
Stephen Satchell) ~* v8 f$ `, @6 l, o: e
10 Dynamic risk analysis and risk model evaluation 149
: c S6 l; I5 }6 M$ jGünter Schwarz and Christoph Kessler
2 X. [ E( ]9 ~. f9 s0 U6 O+ b11 Validation of internal rating systems and PD estimates 169
, j. X! B- g4 F1 u) O% eDirk Tasche' w; g" d' X2 W& Q* b% |
Index 197 |
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发表于 2008-7-4 09:16:37
