The analytics of risk model validation /
Saved in:
| Edition: | 1st ed. |
|---|---|
| Imprint: | Amsterdam ; Boston : Elsevier/Academic Press, c2008. |
| Description: | xi, 201 p. ; 24 cm. |
| Language: | English |
| Series: | Quantitative finance series Quantitative finance series. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/6663456 |
MARC
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| 245 | 0 | 4 | |a The analytics of risk model validation / |c edited by George Christodoulakis, Stephen Satchell. |
| 250 | |a 1st ed. | ||
| 260 | |a Amsterdam ; |a Boston : |b Elsevier/Academic Press, |c c2008. | ||
| 300 | |a xi, 201 p. ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
| 337 | |a unmediated |b n |2 rdamedia |0 http://id.loc.gov/vocabulary/mediaTypes/n | ||
| 338 | |a volume |b nc |2 rdacarrier |0 http://id.loc.gov/vocabulary/carriers/nc | ||
| 490 | 1 | |a Quantitative finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Determinants of small business default / Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu -- Validation of stress testing models / Joseph L. Breeden -- The validity of credit risk model validation methods / George Christodoulakis and Stephen Satchell -- A moments-based procedure for evaluation risk forecasting models / Kevin Dowd -- Measuring concentration risk in credit portfolios / Klaus Duellmann -- A simple method for regulators to cross-check operational risk loss models for banks / Wayne Holand and ManMohan S. Sodhi -- Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems / Vichett Oung -- Analytic models of the ROC curve : applications to credit rating model validation / Stephen Satchell and Wei Xia -- The validation of the equity portfolio risk models / Stephen Satchell -- Dynamic risk analysis and risk model evaluation / Günter Schwarz and Christoph Kessler -- Validation of internal rating systems and PD estimates / Dirk Tasche. | |
| 650 | 0 | |a Risk management |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008110811 | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst01098179 | |
| 700 | 1 | |a Christodoulakis, George. |0 http://id.loc.gov/authorities/names/no2008077652 |1 http://viaf.org/viaf/12118811 | |
| 700 | 1 | |a Satchell, S. |q (Stephen) |0 http://id.loc.gov/authorities/names/n98038227 |1 http://viaf.org/viaf/74998924 | |
| 830 | 0 | |a Quantitative finance series. |0 http://id.loc.gov/authorities/names/no2001010280 | |
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