人大经济论坛下载系统

经济学 计量与统计 工商管理与财会金融投资学 其他
返回首页
当前位置: 主页 > 图书 > 金融投资学 >

Analytics of Risk Model Validation

文件格式:Pdf 可复制性:可复制 TAG标签: Analytics Risk Model Validation 点击次数: 更新时间:2009-09-28 11:21
介绍

the Analytics of Risk Model Validation

Contents
Abouttheeditors vii
Aboutthecontributors ix
Preface xiii
1Determinantsofsmallbusinessdefault 1
SumitAgarwal,SouphalaChomsisengphetandChunlinLiu
2Validationofstresstestingmodels 13
JosephL.Breeden
3Thevalidityofcreditriskmodelvalidationmethods 27
GeorgeChristodoulakisandStephenSatchell
4Amoments-basedprocedureforevaluatingriskforecastingmodels 45
KevinDowd
5Measuringconcentrationriskincreditportfolios 59
KlausDuellmann
6Asimplemethodforregulatorstocross-checkoperationalriskloss
modelsforbanks 79
WayneHollandandManMohanS.Sodhi
7Ofthecredibilityofmappingandbenchmarkingcreditriskestimatesfor
internalratingsystems 91
VichettOung
8AnalyticmodelsoftheROCcurve:Applicationstocreditrating
modelvalidation 113
StephenSatchellandWeiXia
9Thevalidationoftheequityportfolioriskmodels 135
StephenSatchell
10Dynamicriskanalysisandriskmodelevaluation 149
GnterSchwarzandChristophKessle
11ValidationofinternalratingsystemsandPDestimates 169
DirkTasche
Index 197

This page intentionally left blank

下载地址
顶一下
(0)
0%
踩一下
(0)
0%
------分隔线----------------------------