The analytics of risk model validation /
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| 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 |
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 / Günter Schwarz and Christoph Kessler
- Validation of internal rating systems and PD estimates / Dirk Tasche.
