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Table of contents
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1 - Determinants of small business default
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
Pages 1-12 - Book chapterAbstract only
2 - Validation of stress testing models
Joseph L. Breeden
Pages 13-25 - Book chapterAbstract only
3 - The validity of credit risk model validation methods
George Christodoulakis and Stephen Satchel
Pages 27-43 - Book chapterAbstract only
4 - A moments-based procedure for evaluating risk forecasting models
Kevin Dowd
Pages 45-58 - Book chapterAbstract only
5 - Measuring concentration risk in credit portfolios
Klaus Duettmann
Pages 59-78 - 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 - Book chapterAbstract only
7 - Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems
Vichett Oung
Pages 91-111 - Book chapterAbstract only
8 - Analytic models of the ROC Curve: Applications to credit rating model validation
Stephen Satchel and Wei Xia
Pages 113-133 - Book chapterAbstract only
9 - The validation of equity portfolio risk models
Stephen Satchel
Pages 135-148 - Book chapterAbstract only
10 - Dynamic risk analysis and risk model evaluation
Günter Schwarz and Christoph Kessler
Pages 149-168 - Book chapterAbstract only
11 - Validation of internal rating systems and PD estimates
Dirk Tasche
Pages 169-196 - 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