Analytics of Risk Model Validation
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Analytics of Risk Model Validation
Christodoulakis, George A. (Advisor to the Governor of the Bank of Greece and Assistant Professor of Finance, Manchester Business School, U.K.); Satchell, Stephen (Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.)
Elsevier Science & Technology
10/2007
216
Dura
Inglês
9780750681582
15 a 20 dias
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. This book provides a collection that focuses on the quantitative side of model validation. It the three main areas of risk: Credit Risk, Market and Operational Risk.
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
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. This book provides a collection that focuses on the quantitative side of model validation. It the three main areas of risk: Credit Risk, Market and Operational Risk.
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
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
