The analytics of risk model validation /

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Bibliographic Details
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:Risk management -- Mathematical models.
Risk management -- Mathematical models.
Format: Print Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/6663456
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Other authors / contributors:Christodoulakis, George.
Satchell, S. (Stephen)
ISBN:9780750681582 (hd.bd.)
0750681586 (hd.bd.)
Notes:Includes bibliographical references and index.
Table of Contents:
  • 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 / Gu╠łnter Schwarz and Christoph Kessler
  • Validation of internal rating systems and PD estimates / Dirk Tasche.