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The analytics of risk model validation

紀錄類型:	書目-語言資料,印刷品 : 單行本
其他作者:	ChristodoulakisGeorge.,
其他作者:	SatchellS.,
其他團體作者:	ScienceDirect (Online service)
出版地:	Amsterdam
出版者:	Elsevier/Academic Press;
出版年:	c2008.
版本:	1st ed.
面頁冊數:	xi, 201 p.24 cm.;
集叢名:	Quantitative finance series
標題:	Risk management - Mathematical models. -
標題:	Electronic books. -
電子資源:	http://www.loc.gov/catdir/enhancements/fy0833/2008297532-d.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0833/2008297532-d.html
附註:	Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
摘要註:	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 part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk. Risk model validation is a requirement of Basel I and II The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk.
ISBN:	0750681586
內容註:	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.

The analytics of risk model validation
The analytics of risk model validation / edited by George Christodoulakis, Stephen Satchell. - 1st ed.. - Amsterdam : Elsevier/Academic Press, c2008.. - xi, 201 p. ; 24 cm.. - (Quantitative finance series).
Contents.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008..
Includes bibliographical references and index..
ISBN 0750681586ISBN 9780750681582
Risk management Electronic books. -- Mathematical models.

Christodoulakis, George.

The analytics of risk model validation
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200 1 $a The analytics of risk model validation $f edited by George Christodoulakis, Stephen Satchell.
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