|
|
马上注册,结识高手,享用更多资源,轻松玩转三维网社区。
您需要 登录 才可以下载或查看,没有帐号?注册
x
The Analytics of Risk Model Validation( ]5 p4 {: x% z/ A9 j) ~ N4 \( R" c$ s
Academic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb 1 R" u" o2 }0 Z( l! i: a9 L
: ?% m/ ?7 f6 `0 N1 a! S) V- m
{4 R) p0 i2 `/ G t
4 a, G7 a R y4 g1 P 9 i9 {; _6 ^( g. p# f! _+ w
About the editors vii$ I5 H3 _) o2 ?5 `3 g8 o
About the contributors ix0 o- W3 ^7 n! z( c# Y$ [! L
Preface xiii: @; g* r1 f( i
1 Determinants of small business default 1; M5 ?9 O0 U3 [7 e3 i7 ~
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
o- h, ?. n f2 Validation of stress testing models 13: c4 [+ k$ P$ Z5 [' b# v+ W1 q& a
Joseph L. Breeden3 _, ^: |# b$ z) y' R- Q9 |. |* n5 m
3 The validity of credit risk model validation methods 27
" g( ^4 Q; _, u8 Q+ i0 @, HGeorge Christodoulakis and Stephen Satchell/ ?$ d: A" l. d. ^( [
4 A moments-based procedure for evaluating risk forecasting models 45
% I/ Y7 Y. |- f$ z2 YKevin Dowd! s5 N4 ^8 T3 ~( C& F
5 Measuring concentration risk in credit portfolios 59
& m4 b, @- U5 ~0 w/ g$ pKlaus Duellmann% C0 B% n! O! h; o4 C
6 A simple method for regulators to cross-check operational risk loss) j( \6 s! E6 j3 e
models for banks 79
5 c6 Z' p3 d N8 `Wayne Holland and ManMohan S. Sodhi: E& v/ o1 ~' f+ N6 ?, \) |
7 Of the credibility of mapping and benchmarking credit risk estimates for" J4 w& w& d2 D4 ~) ?! r4 d! |
internal rating systems 91: s4 k' T: T8 v' o5 l/ g
Vichett Oung5 w# ]: h2 Q" ^$ b7 p$ t
8 Analytic models of the ROC curve: Applications to credit rating
* D8 C" Y" c1 J4 V Dmodel validation 113) C9 S3 x' B( A4 X% i
Stephen Satchell and Wei Xia3 s, a* | b3 o" t2 o. z* X: F
9 The validation of the equity portfolio risk models 135
) E' V9 V/ W# F; I7 w; pStephen Satchell
$ ` {% d0 \' G5 L10 Dynamic risk analysis and risk model evaluation 149
+ N* R' Z" {8 S; Q, @5 BGünter Schwarz and Christoph Kessler
" j( Z$ c6 {( M1 t9 h11 Validation of internal rating systems and PD estimates 169
$ _/ q% Q: e" n7 M% L& O( T" [Dirk Tasche7 k- @4 F: X! p& {/ b
Index 197 |
|