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The Analytics of Risk Model Validation
/ e1 f3 C/ f3 X7 N( XAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb ' G" i0 m& [+ i7 F* @* z
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About the editors vii
3 E( _" a/ `0 H* q# Q, u- Y$ Y9 kAbout the contributors ix
( l; q, n" Z1 r0 n$ JPreface xiii
1 \* O0 q. _1 f) x1 Determinants of small business default 10 ~) f6 G) P/ d, ~
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu4 w9 Z+ i4 y7 J9 E7 v; s/ {4 G
2 Validation of stress testing models 132 g8 g- w# s2 c& Y8 K: e
Joseph L. Breeden+ V7 |1 k+ z8 ~, c
3 The validity of credit risk model validation methods 27( ~/ q* L% o8 \ f3 E5 c; _
George Christodoulakis and Stephen Satchell5 O$ H1 Y2 t, M1 ~
4 A moments-based procedure for evaluating risk forecasting models 45; U7 C. s ^+ g4 i* f$ A% a
Kevin Dowd2 B4 U& c H: s
5 Measuring concentration risk in credit portfolios 59
' i% j; S4 e( L# X9 D+ ~+ @0 VKlaus Duellmann
( F S! w6 R, U) G" N) v6 A simple method for regulators to cross-check operational risk loss
! Z7 ~5 |, L3 Q6 ?6 I9 s( [6 ^models for banks 799 o1 ?8 v; j C! \% I) w6 y
Wayne Holland and ManMohan S. Sodhi
8 |$ ~# }4 O( m- R5 X7 Of the credibility of mapping and benchmarking credit risk estimates for$ f9 N; S+ ^3 R9 T+ r
internal rating systems 91
5 e2 {7 }. M9 Z: G) aVichett Oung
$ t d8 n' p; ~# @9 ]# H! Y7 S8 Analytic models of the ROC curve: Applications to credit rating% s, I- ]1 _$ c$ L2 F5 C8 e
model validation 113* t" P5 U+ S2 z. l. ?8 u
Stephen Satchell and Wei Xia
" H; U/ y. n; O$ ~9 The validation of the equity portfolio risk models 135- T+ W! f6 w9 N& w. U
Stephen Satchell
; ]7 A" x% Q1 s; m# a10 Dynamic risk analysis and risk model evaluation 149
" J9 d* Z5 @; JGünter Schwarz and Christoph Kessler2 [' J5 {8 Q# T# l, F) S! ]9 C
11 Validation of internal rating systems and PD estimates 169
; [0 s7 @3 j3 h, R5 D" eDirk Tasche0 G D( I j; W4 {
Index 197 |
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