The analytics of risk model validation. (2008)

• Record Type: Book
• Further Information: Note: Edited by George Christodoulakis, Stephen Satchell.
• Other Names: Christodoulakis, George; Satchell, S (Stephen)
• 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
• Publisher Details: Amsterdam Boston : Elsevier/Academic Press
• Publication Date: 2008
• Extent: 1 online resource (1 volume)
• Subjects: 658.155015118; Risk management -- Mathematical models; Operational risk -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9780080553887; 0080553885
• Related ISBNs: 0750681586; 9780750681582
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.