The first book on risk model validation following Basel I and II initiatives
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
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.
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