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The analytics of risk model validation /
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier/Academic Press,
�2008.
|
| Edición: | 1st ed. |
| Colección: | Quantitative finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Contents
- Chapter 1 Determinants of small business default, Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
- Chapter 2 Validation of stress testing models, Jospeh L. Breeden
- Chapter 3 The validity of credit risk model validation methods, George Christodoulakis and Stephen Satchell
- Chapter 4 A moment-based procedure for evaluating risk forecasting models, Kevin Dowd
- Chpater 5 Measuring concentration risk in credit portfolios, Klaus Duellmann
- Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks, Wayne Holland and ManMohan S. Sodhi
- Chapter 7 Of the credibility of mapping and bencmarking credit risk estimates for internal rating systems, Vichett Oung
- Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation, Stephen Satchell and Wei Xia
- Chapter 9 The validation of the equity portfolio risk models, Stephen Satchell
- Chapter 10 Dynamic risk analysis and risk model evaluation, Gunter Schwarz and Christoph Kessler
- Chapter 11 Validation of internal rating systems and PD esitmates, Dirk Tasche
- Index.