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The analytics of risk model validation [electronic resource] / edited by George Christodoulakis, Stephen Satchell.

Contributor(s): Christodoulakis, George | Satchell, S. (Stephen) | ScienceDirect (Online service).
Series: Quantitative finance series: Publisher: Amsterdam ; Boston : Elsevier/Academic Press, c2008Edition: 1st ed.Description: xi, 201 p. ; 24 cm.ISBN: 9780750681582; 0750681586.Subject(s): Risk management -- Mathematical modelsGenre/Form: Electronic books.Additional physical formats: No titleDDC classification: 658.155015118 Online resources: An electronic book accessible through the World Wide Web; click for information
Contents:
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.
Item type Current location Call number Status Notes Date due Barcode
Main Collection Taylor's Library - Perpetual(TU)
658.155015118 (Browse shelf) e-book TBSxx,44001,03,CL,PPT

Includes bibliographical references and index.

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.

Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on May 14, 2008). Access may be restricted to users at subscribing institutions.