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- Product code: 246665
- ISBN: 0750681586,
ISBN13: 9780750681582,
hardback
Published by Academic Press on 2007
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Description of The Analytics of Risk Model Validation |
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.
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Contents of The Analytics of Risk Model Validation |
List of Contributors v Preface vi Introduction 1 1 Determinants of Small Business Default S. Agarwal 2 Validation of Stress-Testing Models J.L Breeden 3 The Validity of Credit Risk Model Validation Methods George Christodoulakis & Steve Satchell 4 A Moment-based for Evaluating Risk Forecasting Models Kevin Dowd 5 Measuring Concentration Risk in Credit Portfolios Klaus Duellman 6 A Simple Method for Regulators to Cross-Check Operational Risk Loss Models for Banks Wayne Holland & ManMohan Sodhi 7 Of the Credibility of Mapping and Benchmarking Credit Risk Estimates for Internal Rating Systems Vichett Oung 8 Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation Steve Satchell & Wei Xia 9 The Validation of the Equity Portfolio Risk Models Steve Satchell 10 Dynamic Risk Analysis and Risk Model Evaluation Gunter Schwarz & Chrisoph Kessler 11 Validation of Internal Rating Systems and PD Estimates Dirk Tasche
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About Stephen Satchell |
George Christodoulakis, Advisor to the Governor of the Bank of Greece and Assistant Professor of Finance, Manchester Business School, U.K.
Stephen Satchell, Reader in Financial Econometrics at Trinity College, Cambridge
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