The Analytics of Risk Model Validation
Published on 17. October 2007
Book
Hardback
216 pages
978-0-7506-8158-2 (ISBN)
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.
More details
Series
Language
English
Place of publication
London
United Kingdom
Publishing group
Elsevier Science & Technology
Target group
Professional and scholarly
Primary audience: Investment Professionals and academics
Dimensions
Height: 234 mm
Width: 165 mm
Weight
500 gr
ISBN-13
978-0-7506-8158-2 (9780750681582)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
George A. Christodoulakis | Stephen Satchell
The Analytics of Risk Model Validation
E-Book
11/2007
Academic Press
€66.95
Available for download
Persons
Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
Content
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
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