Cover for The Analytics of Risk Model Validation

The Analytics of Risk Model Validation

A volume in Quantitative Finance

Book2008

Edited by:

George Christodoulakis and Stephen Satchell

The Analytics of Risk Model Validation

A volume in Quantitative Finance

Book2008

 

Cover for The Analytics of Risk Model Validation

Edited by:

George Christodoulakis and Stephen Satchell

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Book description

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 ... read full description

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  2. Book chapterAbstract only

    1 - Determinants of small business default

    Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu

    Pages 1-12

  3. Book chapterAbstract only

    2 - Validation of stress testing models

    Joseph L. Breeden

    Pages 13-25

  4. Book chapterAbstract only

    3 - The validity of credit risk model validation methods

    George Christodoulakis and Stephen Satchel

    Pages 27-43

  5. Book chapterAbstract only

    4 - A moments-based procedure for evaluating risk forecasting models

    Kevin Dowd

    Pages 45-58

  6. Book chapterAbstract only

    5 - Measuring concentration risk in credit portfolios

    Klaus Duettmann

    Pages 59-78

  7. Book chapterAbstract only

    6 - A Simple method for regulators to cross-check operational risk loss models for banks

    Wayne Holland and ManMohan S. Sodhi

    Pages 79-90

  8. Book chapterAbstract only

    7 - Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems

    Vichett Oung

    Pages 91-111

  9. Book chapterAbstract only

    8 - Analytic models of the ROC Curve: Applications to credit rating model validation

    Stephen Satchel and Wei Xia

    Pages 113-133

  10. Book chapterAbstract only

    9 - The validation of equity portfolio risk models

    Stephen Satchel

    Pages 135-148

  11. Book chapterAbstract only

    10 - Dynamic risk analysis and risk model evaluation

    Günter Schwarz and Christoph Kessler

    Pages 149-168

  12. Book chapterAbstract only

    11 - Validation of internal rating systems and PD estimates

    Dirk Tasche

    Pages 169-196

  13. Book chapterNo access

    Index

    Pages 197-201

About the book

Description

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 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.

Key Features

*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

*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

Details

ISBN

978-0-7506-8158-2

Language

English

Published

2008

Copyright

Copyright © 2008 Elsevier Ltd. All rights reserved

Imprint

Academic Press

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Editors

George Christodoulakis

Manchester Business School, University of Manchester, UK

Stephen Satchell

Trinity College, Cambridge, UK