Contents
About the editors vii
About the contributors ix
Preface xiii
1 Determinants of small business default 1
Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu
2 Validation of stress testing models 13
Joseph L. Breeden
3 The validity of credit risk model validation methods 27
George Christodoulakis and Stephen Satchell
4 A moments-based procedure for evaluating risk forecasting models 45
Kevin Dowd
5 Measuring concentration risk in credit portfolios 59
Klaus Duellmann
6 A simple method for regulators to cross-check operational risk loss
models for banks 79
Wayne Holland and ManMohan S. Sodhi
7 Of the credibility of mapping and benchmarking credit risk estimates for
internal rating systems 91
Vichett Oung
8 Analytic models of the ROC curve: Applications to credit rating
model validation 113
Stephen Satchell and Wei Xia
9 The validation of the equity portfolio risk models 135
Stephen Satchell
10 Dynamic risk analysis and risk model evaluation 149
Günter Schwarz and Christoph Kessler
11 Validation of internal rating systems and PD estimates 169
Dirk Tasche
Index 197