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The Analytics of Risk Model Validation
( X+ r0 L6 b+ uAcademic Press | 2007-11-11 | ISBN: 0750681586 | 216 pages | PDF | 1,9 Mb
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About the editors vii2 l/ b# H( e; {' x6 E
About the contributors ix0 r( \4 {' U$ H
Preface xiii# o5 ] W/ x+ T8 G$ {& u
1 Determinants of small business default 1
/ s/ V9 _1 }) VSumit Agarwal, Souphala Chomsisengphet and Chunlin Liu N: h9 F; o6 W& o
2 Validation of stress testing models 13
1 M1 V/ d- U- D3 \# ]+ xJoseph L. Breeden5 R& M% n; Q/ l, E
3 The validity of credit risk model validation methods 27/ X% {8 t4 ]6 E! u/ t' U' u
George Christodoulakis and Stephen Satchell: d" }: t8 o# [# B& B3 e! |
4 A moments-based procedure for evaluating risk forecasting models 45
# ^2 y9 T" s: o: |8 j' y4 hKevin Dowd" `" @4 k# T0 c. w2 X
5 Measuring concentration risk in credit portfolios 59& r" ]; Y: s+ G# L" W' p
Klaus Duellmann- h6 A* U1 X$ g8 O/ Q1 y
6 A simple method for regulators to cross-check operational risk loss6 ^% O, S* o0 s( Z) h4 d3 J
models for banks 79" s5 b: [- x' i/ a( r6 d( T
Wayne Holland and ManMohan S. Sodhi
5 J( M' M2 H4 x: \ V/ q7 M- P1 O+ @( P7 Of the credibility of mapping and benchmarking credit risk estimates for
2 N: L8 I' S% ?' _internal rating systems 91& ^. k/ B/ L) w- p4 t* B( w: J
Vichett Oung3 g) Y0 b, j0 }0 z5 F" R
8 Analytic models of the ROC curve: Applications to credit rating
5 o2 z& ~+ v" c6 y" {model validation 113- C" a" ~. C, q7 o
Stephen Satchell and Wei Xia1 L* h- P. G4 k4 o+ O: ], \
9 The validation of the equity portfolio risk models 1354 q* c& B; z8 O7 k- i. [
Stephen Satchell, Y8 @6 q4 k# O4 {. e* m
10 Dynamic risk analysis and risk model evaluation 1497 f+ F% x+ t/ t% M) Y0 t
Günter Schwarz and Christoph Kessler
" k4 Y9 C& D2 X$ j- ^+ ]11 Validation of internal rating systems and PD estimates 169
, n7 P* [! q. k+ @Dirk Tasche* n, k' x- h3 q1 P
Index 197 |
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发表于 2008-7-4 09:16:37
